Diversification evidence from international equity markets using extreme values and stochastic copulas

By M. Bhatti, Cuong C. Nguyen. 2012

87 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5a95d97190e1c7298bf9fda06ece580f2ea05435

Citations in the corpus

• The Structure and Degree of Dependence - A Quantile Regression Approach (2012, unknown): “Specific applications of copulas to risk management and diversification of financial risks can be found in Chollete, de la Peña Lu (2011), Kole, Koedijk and Verbeek (2007) and Nguyen and Bhatti (2012).”
• Fighting terrorism in Africa: Benchmarking policy harmonization (2018, unknown): “The employment of Dynamic Conditional Correlation (Chiang et al., 2007; Al Rahahleh & Bhatti, 2017) and Copula (Ahsnaullah & Bhatti, 2010; Bhatti & Nguyen, 2012; Nguyen & Bhatti, 2012; Jong-Min & Jung, 2016) methodologies that are designed to analyze data into some extreme events are recommendable.”