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, 302 pages

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
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Citations: View citations in EconPapers (14)

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DOI: 10.1007/s10690-010-9116-2

Asia-Pacific Financial Markets is currently edited by Jiro Akahori

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