Dependence patterns across financial markets: a mixed copula approach
Tóm tắt
Từ khóa
Tài liệu tham khảo
Ang A, 2002, Review of Financial Studies, 63, 443
Ang, A, Chen, J and Xing, Y. 2002. Downside correlation and expected stock returns. 2002. Working paper, Columbia Business School.
Bouye, E, Durrleman, V, Nikeghbali, A, Riboulet, G and Roncalli, T. 2000. Copulas for finance a reading guide and some applications. 2000. Working paper, Credit Lyonnais.
Boyer, BH, Gibson, MS and Loretan, M. 1999. Pitfalls in tests for changes in correlations. 1999. International Finance Discussion Paper No. 597, Board of Governors of the Federal Reserve System.
Corsettia, G, Dedolab, L and Leducc, S. 2003. International risk-sharing and the transmission of productivity shocks. 2003. Working Paper No. 308, European Central Bank.
Dempster AP, 1977, Journal of the Royal Statistical Society. Series B, 39, 1
Drazen A, 2000, Currency Crises
Joe H, 1997, Monographs on statistics and applied probability, 73
Mashal, R and Zeevi, A. 2002. Beyond correlation: extreme co-movements between financial assets. 2002. Working Paper, Columbia Business School.
Sklar A, 1959, Publications de l`Institut de Statistique de l`Universite de Paris, 8, 229