Dependence structure among international stock markets: a GARCH-copula analysis

Applied Financial Economics

Volumn 23, Issue 23, 2013, Pages 1805-1817

  Yang, Lu ^a   Hamori, Shigeyuki ^a  

^a KOBE UNIVERSITY   (Japan)

Author keywords

copula function; dependence structure; financial crisis; GARCH model; stock markets; the BRICs

Indexed keywords

CORRELATION; ECONOMIC STRUCTURE; FINANCIAL CRISIS; NUMERICAL MODEL; REGRESSION ANALYSIS; STOCK MARKET;

EID: 84887981610     PISSN: 09603107     EISSN: 14664305     Source Type: Journal    
DOI: 10.1080/09603107.2013.854296     Document Type: Article

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