A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence
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Volume (Year): 36 (2009)
Issue (Month): 1 (February)
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- François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, 04.
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- Benoit Mandelbrot, 1963. "New Methods in Statistical Economics," Journal of Political Economy, University of Chicago Press, vol. 71, pages 421.
- Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, vol. 61(1), pages 43-76, July.
- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- Sun, Wei & Rachev, Svetlozar & Fabozzi, Frank J., 2007. "Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns," Journal of Economics and Business, Elsevier, vol. 59(6), pages 575-595.
- Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
- Mittnik, Stefan & Paolella, Marc S. & Rachev, Svetlozar T., 2002. "Stationarity of stable power-GARCH processes," Journal of Econometrics, Elsevier, vol. 106(1), pages 97-107, January.
- Muller, Ulrich A. & Dacorogna, Michel M. & Olsen, Richard B. & Pictet, Olivier V. & Schwarz, Matthias & Morgenegg, Claude, 1990. "Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1189-1208, December.
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