A copula approach to modelling dependence structures between Asian equity markets.

• Main Authors: Chin, Zhuo Song., Teo, Chin Seng., Tham, Eugene Poh Keong.
• 其他作者: Li Ka Ki Jackie
• 格式: Final Year Project
• 語言: English
• 出版: 2011
• 主題: DRNTU::Business::Finance::Portfolio management
• 在線閱讀: http://hdl.handle.net/10356/46357

In recent times, increased dependence between markets and asset classes has rendered traditional techniques such as linear correlation incapable of adequately modelling dependence structures. This has led to growing interest amongst academics and portfolio managers in new and more effective tools to...