A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence

Wei Sun, Svetlozar Rachev (), Frank Fabozzi and Petko Kalev

Empirical Economics, 2009, vol. 36, issue 1, pages 201-229

Keywords: Copula; Fractional Gaussian noise; High-frequency data; Self-similarity; Tail dependence; C15; C46; C52; G15 (search for similar items in EconPapers)
Date: 2009
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