Search Results - subject:"time-varing copulas"

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On the dynamic dependence between US and other developed stock markets: An extreme-value time-varying copula approach

Boubaker, Heni; Sghaier, Nadia - Institut de Préparation à l'Administration et à la … - 2014

This paper examines the dynamic dependence between American and four developed stock markets, namely, Japan, United Kingdom, Germany and France during a recent period including the global Â…nancial crisis 2007-2009. The econometric approach is based on the extreme-value time-varying copula...

Persistent link: https://www.econbiz.de/10010754747

On the dynamic dependence between US and other developed stock markets: An extreme-value time-varying copula approach

Boubaker, Heni; Sghaier, Nadia - Institut de Préparation à l'Administration et à la … - 2014

This paper examines the dynamic dependence between American and four developed stock markets, namely, Japan, United Kingdom, Germany and France during a recent period including the global financial crisis 2007-2009. The econometric approach is based on the extreme-value time-varying copula...

Persistent link: https://www.econbiz.de/10010764032