Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae
Katja Ignatieva () and
Eckhard Platen ()
Asia-Pacific Financial Markets, 2010, vol. 17, issue 3, pages 261-302
Keywords: International equity market; Student-t distribution; Symmetric generalized hyperbolic distribution; Time-varying copula; Value-at-risk; World stock index (search for similar items in EconPapers)
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