Test of the Gaussian Copula on the Swedish Stock Market
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References listed on IDEAS
- Brännäs, Kurt & Quoreshi, Shahiduzzaman & Simonsen, Ola, 2002. "Extreme-Value Characteristics in Daily Time Series of Swedish Stock Returns," Umeå Economic Studies 597, Umeå University, Department of Economics.
- François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, April.
- Robert Engle, 2001. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 157-168, Fall.
- Ser-Huang Poon, 2004. "Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications," Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 581-610.
More about this item
KeywordsRisk management; Gaussian copula; Swedish stock markets; GARCH filtering;
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-05-09 (All new papers)
- NEP-FMK-2009-05-09 (Financial Markets)
- NEP-RMG-2009-05-09 (Risk Management)
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