Modelling asymmetric conditional dependence between Shanghai and Hong Kong stock markets
نویسندگان
چکیده
منابع مشابه
Linkages between Shanghai and Hong Kong stock indices
This paper examines the dynamics of the linkages between Shanghai and Hong Kong stock indices. While the volatility linkage is analysed by a multivariate GARCH framework, the dependence of returns is examined by a copula approach. Eight different copula functions are applied in this study including two time varying ones which capture the time varying process of the linkage. The result shows sig...
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ژورنال
عنوان ژورنال: Research in International Business and Finance
سال: 2017
ISSN: 0275-5319
DOI: 10.1016/j.ribaf.2017.07.050