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Option prices and risk-neutral densities for currency cross rates

Taylor, Stephen J.; Wang, Yaw-Huei - In: The journal of futures markets 30 (2010) 4, pp. 324-361

Persistent link: https://www.econbiz.de/10008383692

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

The Euro and European financial market dependence

Bartram, Sohnke M.; Taylor, Stephen J.; Wang, Yaw-Huei - In: Journal of Banking & Finance 31 (2007) 5, pp. 1461-1481

Persistent link: https://www.econbiz.de/10005194694

The Euro and European Financial Market Integration

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...

Persistent link: https://www.econbiz.de/10004971164