Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International Journal of Managerial and Financial Accounting 5 (2013) 1, pp. 1-32
In this work, we use a time varying copula model to investigate the impact of the global financial crisis on dependence between US and each of six major stock markets and on risk management strategies. The model is implemented with an AR-GARCH-t for the marginal distribution and the extreme...