Extreme return-volume dependence in East-Asian stock markets: A copula approach

Finance Research Letters

Volumn 6, Issue 4, 2009, Pages 202-209

  Ning, Cathy ^a   Wirjanto, Tony S ^b  

^a RYERSON UNIVERSITY   (Canada)

^b UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Copulas; Extreme returns; Return volume dependence; Tail dependence

Indexed keywords

EID: 70449522181     PISSN: 15446123     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.frl.2009.09.002     Document Type: Article

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