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)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1007/s10690-010-9116-2 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:kap:apfinm:v:17:y:2010:i:3:p:261-302

Access Statistics for this article

Asia-Pacific Financial Markets is edited by Ryozo Miura

More articles in Asia-Pacific Financial Markets from Springer
Series data maintained by Guenther Eichhorn ().