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2014 | 15(XV) | nr 1 | 174--182
Tytuł artykułu

Analysis of Tail Dependence Structure in Global Financial Markets

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The identification of tail (in)dependencies has drawn major attention in empirical financial studies. We concern on the structure of dependence which refers to dependence as symmetric or asymmetric, taildependent or tail-independent. We present the proper procedure of analysis dependence structure between some financial instruments. Our empirical results demonstrate different tail dependence structures underlying various global financial markets. (original abstract)
Twórcy
  • Uniwersytet Ekonomiczny w Katowicach
  • Uniwersytet Ekonomiczny w Katowicach
Bibliografia
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171316637

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