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Asymmetric increasing trends in dependence in international equity markets

✍ Scribed by Okimoto, Tatsuyoshi


Book ID
124086838
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
876 KB
Volume
46
Category
Article
ISSN
0378-4266

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## Abstract We assess the extent of integration between stock markets during stressful periods using the concept of copulas. Our methodology consists of fitting copulas to simultaneous exceedances of high thresholds, and computing copula‐based measures of interdependence and contagion. Using 21 pai