A vine copula approach for analyzing financial risk and co-movement of the Indonesian, Philippine and Thailand stock markets
This paper aims at analyzing the financial risk and co-movement of stock markets in three countries: Indonesia, Philippine and Thailand. It consists of analyzing the conditional volatility and test the leverage effect in the stock markets of the three countries. To capture the pairwise and condition...
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| Main Authors: | , , , |
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| 格式: | Book Series |
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2018
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| 主題: | |
| 在線閱讀: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84897877692&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/53440 |
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| 機構: | Chiang Mai University |