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How are Africa's emerging stock markets related to advanced markets? Evidence from copulas · Study

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ArticleHow are Africa's emerging stock markets related to advanced markets? Evidence from copulas

Jones Odei‐Mensah2016

Article2016

How are Africa's emerging stock markets related to advanced markets? Evidence from copulas

Jones Odei‐Mensah · Paul Alagidede

70 citations·0/0 files stored·Economic Modelling

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1999An Introduction to Copulas 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2004Copula Methods in Finance 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 1978Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables

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Year2016

Typearticle

Published2016-09-24

VenueEconomic Modelling

ISSN-L0264-9993

Languageen

Citations70

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.econmod.2016.08.022

openalex_workW2515540686

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