Measuring and Testing Tail Dependence and Contagion Risk between Major Stock Markets
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- Knyazev, Alexander & Lepekhin, Oleg & Shemyakin, Arkady, 2016. "Joint distribution of stock indices: Methodological aspects of construction and selection of copula models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 42, pages 30-53.
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More about this item
Keywordscontagion risk; tail dependence; copula GARCH; threshold test;
- C0 - Mathematical and Quantitative Methods - - General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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