Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study
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- Thanasis Stengos, 2019. "Nonparametric Econometric Methods and Applications," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 12(4), pages 1-3, November.
More about this item
Keywordsconditional dependence index; Kendall’s tau; leverage effect; nonparametric copula; tail dependence index; volatility feedback effect;
- C - Mathematical and Quantitative Methods
- E - Macroeconomics and Monetary Economics
- F2 - International Economics - - International Factor Movements and International Business
- F3 - International Economics - - International Finance
- G - Financial Economics
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