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Revisiting the Dependence between Financial Markets with Copulas · Study

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PreprintRevisiting the Dependence between Financial Markets with Copulas

Arnaud Costinot2007

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Preprintgreen2007

Revisiting the Dependence between Financial Markets with Copulas

Arnaud Costinot · Thierry Roncalli · Jérôme Teïletche

41 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Market Dynamics and Volatility Complex Systems and Time Series Analysis

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References

1999An Introduction to Copulas 1997Modelling Extremal Events 1994Modelling of extremal events in insurance and finance 1979A Model of Balance-of-Payments Crises 2001Extreme Correlation of International Equity Markets 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 1996Currency crashes in emerging markets: An empirical treatment 1990Correlations in Price Changes and Volatility across International Stock Markets

Cited by

2006Credit Risk Models I: Default Correlation in Intensity Models 2009The role of Chinese stock market in global stock markets: A safe haven or a hedge?2005The Euro and European Financial Market Dependence 2016Contagion effects in selected European capital markets during the financial crisis of 2007–2009 2007How long memory in volatility affects true dependence structure 2017Leverage versus volatility: Evidence from the capital structure of European firms

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Details

Year2007

Typepreprint

Published2007-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations41

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1032535

openalex_workW1547078086

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