The structure and degree of dependence: A quantile regression approach

Journal of Banking and Finance

Volumn 37, Issue 3, 2013, Pages 786-798

  Baur, Dirk G ^a  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

Author keywords

Contagion; Copula; Dependence modeling; Financial crises; Quantile regression; Tail dependence

Indexed keywords

EID: 84872268353     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2012.10.015     Document Type: Article

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