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A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence

Sun, Wei; Rachev, Svetlozar; Fabozzi, Frank; Kalev, Petko - In: Empirical Economics 36 (2009) 1, pp. 201-229

Persistent link: https://www.econbiz.de/10005612885

Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration

Sun, Wei; Rachev, Svetlozar; Fabozzi, Frank; Kalev, Petko - In: Annals of Finance 4 (2008) 2, pp. 217-241

Persistent link: https://www.econbiz.de/10005673948

Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market

Sun, Wei; Rachev, Svetlozar; Stoyanov, Stoyan; Fabozzi, … - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 2, pp. 1572-1572

Analyzing comovements in equity markets is important for risk diversification in portfolio management. Copulas have several advantages compared to the linear correlation measure in modeling comovement. This paper introduces a copula ARMA-GARCH model for analyzing the comovement of indexes in...

Persistent link: https://www.econbiz.de/10005046500