A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence
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More about this item
KeywordsCopula; Fractional Gaussian noise; High-frequency data; Self-similarity; Tail dependence; C15; C46; C52; G15;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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