Nonlinear dependence structure in emerging and advanced stock markets
© Springer Nature Switzerland AG 2019. The aim of this paper is to propose smooth transition (ST) copula as new model to capture nonlinear or two regimes dependence structure between emerging and advanced stock markets, and compare the performance of ST copula with Markov-Switching (MS) copula and t...
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| Main Authors: | , |
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| Format: | Book Series |
| Published: |
2019
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| Subjects: | |
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85064196946&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/65541 |
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| Institution: | Chiang Mai University |