Idiosyncratic tail risk and stock return in Indonesia
نویسندگان
چکیده
منابع مشابه
Tail-dependence in stock-return pairs
The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality. The presence of asymmetric-tail dependence is not compatible with the assumption of a joint student -t distribution. A general test for ...
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ژورنال
عنوان ژورنال: Jurnal Keuangan dan Perbankan
سال: 2020
ISSN: 2443-2687,1410-8089
DOI: 10.26905/jkdp.v24i2.4083