A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence
By Wei Sun, Svetlozar T. Rachev, Frank J Fabozzi 3, P. Kalev. 2009
62 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/231086a9d0d72ab12f43337d59a60e948161a1b6
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In Economics and Econometrics
In Finance
Citations in the corpus
- Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach. (2013, background): “…Patton, 2004; Canela and Collazo, 2006; Kole et al., 2005; Jondeau and Rockinger, 2006; Hu, 2006; Rodriguez, 2007; de Melo Mendes and Kolev, 2008; Sun et al., 2009; Ignatievay and Platen, 2010; Aloui et al., 2011; Chollete et al., 2011; Garcia and Tsafack, 2011) and the dependence structure…”