Modelling co-movements and tail dependency in the international stock market via copulae (Q1959136)
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scientific article; zbMATH DE number 5796381
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| English | Modelling co-movements and tail dependency in the international stock market via copulae |
scientific article; zbMATH DE number 5796381 |
Statements
Modelling co-movements and tail dependency in the international stock market via copulae (English)
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6 October 2010
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international equity market
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Student-\(t\) distribution
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symmetric generalized hyperbolic distribution
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time-varying copula
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value-at-risk
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world stock index
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0.8319685459136963
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0.797726571559906
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0.7875237464904785
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0.7868494391441345
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