Dependence Structures in Chinese and U.S. Financial Markets: A Time-varying Conditional Copula Approach
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- Hu, Jian, 2008. "Dependence Structures in Chinese and U.S. Financial Markets -- A Time-varying Conditional Copula Approach," MPRA Paper 11401, University Library of Munich, Germany.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Nguyen, Duc Khuong, 2011.
"Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?,"
Journal of Banking & Finance,
Elsevier, vol. 35(1), pages 130-141, January.
- Riadh Aloui & Mohamed Safouane Ben Aissa & Khuong Nguyen Duc, 2010. "Global Financial Crisis, Extreme Interdependences, and Contagion E§ects: The Role of Economic Structure," Working Papers 15, Development and Policies Research Center (DEPOCEN), Vietnam.
- Atskanov, Isuf, 2015. "Dynamic optimization of an investment portfolio on European stock markets using pair copulas," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 40(4), pages 84-105.
More about this item
KeywordsAR-GARCH-t model; Time-varying conditional copula; Dependence structure; Stock market.;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- P52 - Economic Systems - - Comparative Economic Systems - - - Comparative Studies of Particular Economies
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