Measuring and Testing Tail Dependence and Contagion Risk Between Major Stock Markets
Author:
Funder
National Science Council
Publisher
Springer Science and Business Media LLC
Subject
Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)
Link
http://link.springer.com/article/10.1007/s10614-016-9587-y/fulltext.html
Reference43 articles.
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3. Ang, A., & Bekaert, G. (1999). International asset allocation with time-varying correlations. NBER Working Paper 7056.
4. Ang, A., & Chen, J. (2002). Asymmetric correlations of equity portfolios. Journal of Financial Economics, 63(3), 443–494.
5. Bae, K. H., Karolyi, G. A., & Stulz, R. M. (2003). A new approach to measuring financial contagion. The Review of Financial Studies, 16, 717–763.
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