Bartram, Söehnke; Taylor, Stephen; Wang, Yaw-Huei - Money Macro and Finance Research Group - 2004
We use 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 Gaussian copula for the...
