کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
963483 930357 2012 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam
چکیده انگلیسی
► This paper proposes the use of two models: nonparametric chi-Kendall plots and semi parametric copula to capture the dependence structure between China and Vietnam markets. ► We study and examine how both models capture the volatility in oil price changes and stock markets between the two countries. ► The empirical results suggest left tail dependence between international oil price and Vietnam's stock market; this implies both are likely to go down together. ► There is no evidence of tail dependence between China's stock market and international oil price.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 22, Issue 4, October 2012, Pages 758-773
نویسندگان
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