Showing 1 - 4 of 4
Persistent link: https://www.econbiz.de/10010417634
Persistent link: https://www.econbiz.de/10013332425
Persistent link: https://www.econbiz.de/10014305155
In this paper, we use the skewed t copula with a DCC (Dynamic Conditional Correlation) model to capture the time-varying asymmetric tail dependence among MSCI US, Europe and Emerging markets. The empirical results show that it is important to take account of asymmetric tail dependence when...
Persistent link: https://www.econbiz.de/10014239631