Dynamic Conditional Correlations and Risk Spread between International Financial Markets: A DCC-Garch Analysis
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More about this item
Keywords
GO-GARCH DCC; Copula-GARCH DCC; multivariate affine Normal-Inverse Gaussian distribution; Expected Shortfall; financial crises;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- 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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