## 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 copulaβbased measures of interdependence and contagion. Using 21 pai
Common Stochastic Trends in Emerging Equity Markets
β Scribed by Ian Garrett; Spyros Spyrou
- Book ID
- 108550160
- Publisher
- John Wiley and Sons
- Year
- 1999
- Tongue
- English
- Weight
- 144 KB
- Volume
- 67
- Category
- Article
- ISSN
- 1463-6786
No coin nor oath required. For personal study only.
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