Ignatieva, Katja; Platen, Eckhard; Rendek, Renata - Finance Discipline Group, Business School - 2010
The aim of this paper is to model the dependencya mong log-returns when security account prices are expressed in units of a well diversified world stock index. The paper uses the equi-weighted index EWI104s, calculated as the average of 104 world industry sector indices. The log-returns of its...