Is global diversification rational? Evidence from emerging equity markets through mixed copula approach
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DOI: 10.1080/00036840701704485
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References listed on IDEAS
- Mr. Paul Cashin & Mr. Manmohan S. Kumar & Mr. C. John McDermott, 1995. "International Integration of Equity Markets and Contagion Effects," IMF Working Papers 1995/110, International Monetary Fund.
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- Oriol Roch Casellas & Antonio Alegre Escolano, 2005. "Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market," Working Papers in Economics 143, Universitat de Barcelona. Espai de Recerca en Economia.
- Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 3-26, February.
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Cited by:
- Nguyen, Cuong & Bhatti, M. Ishaq & Komorníková, Magda & Komorník, Jozef, 2016. "Gold price and stock markets nexus under mixed-copulas," Economic Modelling, Elsevier, vol. 58(C), pages 283-292.
- Ibrahim Ergen, 2014. "Tail dependence and diversification benefits in emerging market stocks: an extreme value theory approach," Applied Economics, Taylor & Francis Journals, vol. 46(19), pages 2215-2227, July.
- Tong, Bin & Diao, Xundi & Wu, Chongfeng, 2015. "Modeling asymmetric and dynamic dependence of overnight and daytime returns: An empirical evidence from China Banking Sector," Economic Modelling, Elsevier, vol. 51(C), pages 366-382.
- Jian Ni & Yue Xu, 2023. "Forecasting the Dynamic Correlation of Stock Indices Based on Deep Learning Method," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 35-55, January.
- Jae-Kwang Hwang, 2014. "Spillover Effects of the 2008 Financial Crisis in Latin America Stock Markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 20(3), pages 311-324, August.
- Chang, Kai & Zhang, Chao, 2018. "Asymmetric dependence structure between emissions allowances and wholesale diesel/gasoline prices in emerging China's emissions trading scheme pilots," Energy, Elsevier, vol. 164(C), pages 124-136.
- Kearney, Colm, 2012. "Emerging markets research: Trends, issues and future directions," Emerging Markets Review, Elsevier, vol. 13(2), pages 159-183.
- Jae-Kwang Hwang, 2012. "Dynamic Correlation Analysis of Asian Stock Markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 18(2), pages 227-237, May.
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