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

• المؤلفون الرئيسيون: Chin, Zhuo Song., Teo, Chin Seng., Tham, Eugene Poh Keong.
• مؤلفون آخرون: Li Ka Ki Jackie
• التنسيق: Final Year Project
• اللغة: English
• منشور في: 2011
• الموضوعات: DRNTU::Business::Finance::Portfolio management
• الوصول للمادة أونلاين: 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...