Extreme Dependence in International Stock Markets
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- Cathy Q. Ning & Loran Chollete, 2009.
"The Dependence Structure of Macroeconomic Variables in the US,"
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- Chollete, Loran & Ning, Cathy, 2009. "The Dependence Structure of Macroeconomic Variables in the US," UiS Working Papers in Economics and Finance 2009/31, University of Stavanger.
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More about this item
KeywordsCopulas; Tail dependence; Time varying dependence; International financial markets; Risk diversification.;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- G01 - Financial Economics - - General - - - Financial Crises
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- 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-2009-11-14 (All new papers)
- NEP-ETS-2009-11-14 (Econometric Time Series)
- NEP-FMK-2009-11-14 (Financial Markets)
- NEP-SEA-2009-11-14 (South East Asia)
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