Tail dependence in emerging ASEAN-6 equity markets: empirical evidence from quantitative approaches
Abstract This study contributes a rich set of quantitative methodologies including a non-parametric approach (Chi-plots and K-plots) as well as copulas (traditional and time-varying with Student’s t-copulas) to the existing literature in terms of determining the dependence structure in ASEAN stock m...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2020-01-01
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| Series: | Financial Innovation |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s40854-019-0168-7 |