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The Euro and European financial market dependence
Bartram, Söhnke M.; Taylor, Stephen; Wang, Yaw-Huei - In: Journal of banking & finance 31 (2007) 5, pp. 1461-1481
Persistent link: https://www.econbiz.de/10003461173
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The Euro and European financial market dependence
Bartram, Söhnke M.; Taylor, Stephen J.; Wang, Yaw-Huei - In: Journal of banking & finance 31 (2007) 5, pp. 1461-1482
Persistent link: https://www.econbiz.de/10007724978
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The Euro and European Financial Market Dependence
Wang, Yaw-Huei - 2019
A time-varying copula model is used to investigate the impact of the introduction of the Euro on the dependence between seventeen European stock markets during the period 1994-2003. The model is implemented with a GJR-GARCH-MA-t model for the marginal distributions and the Gaussian copula for...
Persistent link: https://www.econbiz.de/10012746481
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The Euro and European Financial Market Dependence
Bartram, Söhnke M. - 2019
We use, for the first time, a time-varying copula model to investigate the impact of the introduction of the Euro on the dependence between seventeen European stock markets during the period 1994-2003. The model is implemented with a GJR-GARCH-t model for the marginal distributions and the...
Persistent link: https://www.econbiz.de/10012706272