Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5055084 | Economic Modelling | 2012 | 12 Pages |
Abstract
⺠The asymmetric dependence is captured by Mixture copula-based ARJI-GARCH model. ⺠The individual behavior of each market is modeled by the ARJI-GARCH process. ⺠The asymmetric dependence is captured by the Mixture copula. ⺠The upper tail dependence is slightly weaker than the lower tail dependence.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Kuang-Liang Chang,