Modelling co-movements and tail dependency in the international stock market via copulae
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Publication:1959136
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Cited in
(15)- The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution
- Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index
- Conditional tail risk measures for the skewed generalised hyperbolic family
- Choice of Copulas in Explaining Stock Market Contagion
- Tail dependence estimate in financial market risk management: Clayton-Gumbel copula approach
- Pair-copula constructions for non-Gaussian DAG models
- Modeling spot price dependence in Australian electricity markets with applications to risk management
- scientific article; zbMATH DE number 5371181 (Why is no real title available?)
- Multidimensional copula models for parallel development of the US bond market indices
- scientific article; zbMATH DE number 7028962 (Why is no real title available?)
- The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments
- Tail variance for Generalized Skew-Elliptical distributions
- Copula-GARCH time-varying tail dependence
- Multivariate cointegration analysis of the Finnish-Japanese stock markets
- Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
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