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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- 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.
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