Tail dependence and information flow: Evidence from international equity markets

journal contribution

posted on 2025-09-08, 02:20 authored by Naseem Al Rahahleh, Ishaq BhattiIshaq Bhatti, Iman Adeinat

<p dir="ltr">No description supplied.</p>

History

Publication Date

2017-05-15

Journal

Physica A: Statistical Mechanics and its Applications

Volume

474

Pagination

319-329

Publisher

Elsevier

ISSN

0378-4371

Rights Statement

© 2017 Elsevier B.V. All rights reserved.

Publisher DOI

https://doi.org/10.1016/j.physa.2017.01.063

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Categories

Keywords

DCC models Copula Equity market Left-tail dependence Spillover effect

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