Dependence structure and extreme comovements in international equity and bond markets

Journal of Banking and Finance

Volumn 35, Issue 8, 2011, Pages 1954-1970

  Garcia, René ^a   Tsafack, Georges ^b  

^a EDHEC BUSINESS SCHOOL   (France)

^b SUFFOLK UNIVERSITY   (United States)

Author keywords

Asymmetric correlation; Asymmetric dependence; Copula; GARCH; Regime switching; Tail dependence

Indexed keywords

EID: 79957616395     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2011.01.003     Document Type: Article

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