A new approach to modeling co-movement of international equity markets: Evidence of unconditional copula-based simulation of tail dependence

Wei Sun; Svetlozar Rachev; Frank J Fabozzi; Petko Stefanov Kalev

doi:10.1007/s00181-008-0192-3

A new approach to modeling co-movement of international equity markets: Evidence of unconditional copula-based simulation of tail dependence

Wei Sun, Svetlozar Rachev, Frank J Fabozzi, Petko Stefanov Kalev

Research output: Contribution to journal › Article › Research › peer-review

Original language	English
Pages (from-to)	201 - 229
Number of pages	29
Journal	Empirical Economics
Volume	36
Issue number	1
DOIs	https://doi.org/10.1007/s00181-008-0192-3
Publication status	Published - 2009

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10.1007/s00181-008-0192-3

Cite this

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title = "A new approach to modeling co-movement of international equity markets: Evidence of unconditional copula-based simulation of tail dependence",

author = "Wei Sun and Svetlozar Rachev and Fabozzi, {Frank J} and Kalev, {Petko Stefanov}",

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language = "English",

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AU - Fabozzi, Frank J

AU - Kalev, Petko Stefanov

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JO - Empirical Economics

JF - Empirical Economics

SN - 0377-7332

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