Analysing financial contagion and asymmetric market dependence with volatility indices via copulas
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Publication:470423
DOI10.1007/S10436-011-0181-YzbMath1298.91206OpenAlexW2087284513MaRDI QIDQ470423
Publication date: 12 November 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-011-0181-y
Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Stochastic models in economics (91B70) Actuarial science and mathematical finance (91G99)
Related Items (4)
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