Analysis of the Tail Dependence Structure in the Global Markets: A Pair Copula Construction Approach
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References listed on IDEAS
- Genest, Christian & Rémillard, Bruno & Beaudoin, David, 2009. "Goodness-of-fit tests for copulas: A review and a power study," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 199-213, April.
- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- Clarke, Kevin A., 2007. "A Simple Distribution-Free Test for Nonnested Model Selection," Political Analysis, Cambridge University Press, vol. 15(03), pages 347-363, June.
- Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
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- Paulo Sergio Ceretta & Marcelo Brutti Righi & Alexandre Silva Da costa & Fernanda Maria Muller, 2012. "Quantiles autocorrelation in stock markets returns," Economics Bulletin, AccessEcon, vol. 32(3), pages 2065-2075.
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KeywordsTail Dependence; Pair Copula Construction; Risk Management; Global Markets;
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