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: International Journal of Intelligent Systems in Accounting, Finance & Management
سال: 2002
ISSN: 1055-615X,1099-1174
DOI: 10.1002/isaf.216