Diversification evidence from international equity markets using extreme values and stochastic copulas
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References listed on IDEAS
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More about this item
KeywordsConditional extreme value theory; Dependence structure; International financial markets; Risk management; Time-varying copula;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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