Turgutlu, Evrim; Ucer, Burcu - In: Applied economics 42 (2010) 4/6, pp. 647-658
In this article, we aim to model the level and structure of the dependence between the world's leading stock markets and those of the emerging market groups - Europe, Latin America and Far East. To this end we use a mixture model of Gaussian, Gumbel and Gumbel survival copulas. Our results...