Co-movement measure of information transmission on international equity markets

Author:

Al Rahahleh Naseem,Bhatti M. Ishaq

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference32 articles.

1. Copula-GARCH versus dynamic conditional correlation: an empirical study on VaR and ES forecasting accuracy;Weiss;Rev. Quant. Finance Account.,2013

2. H. Boubaker, N. Sghaier, On the dynamic dependence between US and other developed stock markets: An extreme-value time-varying copula approach, in Working Paper, 2014.

3. Diversification evidence from international equity markets using extreme values and stochastic copulas;Bhatti;J. Int. Financ. Mark. Inst. Money,2012

4. Who moves East Asian stock markets? The role of the 2007–2009 global financial crisis;Wang;J. Int. Financ. Mark. Inst. Money,2014

5. S. Hyde, D. Bredin, N. Nguyen, Correlation dynamics between Asia-Pacific, EU and US stock returns, MPRA Paper 9681, University Library of Munich, May 2007.

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