The Euro and European financial market dependence

NCUIR > School of Management at National Central University > Graduate Institute of Finance > journal & Dissertation > Item 987654321/31319

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/31319

Title:	The Euro and European financial market dependence
Authors:	Bartram,SM;Taylor,SJ;Wang,YH
Contributors:	財務金融研究所
Keywords:	INTERNATIONAL EQUITY MARKETS;STOCK MARKETS;CONDITIONAL HETEROSKEDASTICITY;INTEGRATION;VOLATILITY;MODEL;RETURNS;RISK;EMU;TRANSMISSION
Date:	2007
Issue Date:	2010-07-06 17:42:06 (UTC+8)
Publisher:	中央大學
Abstract:	A time-varying copula model is used to investigate the impact of the introduction of the Euro on the dependence between 17 European stock markets during the period 1994-2003. The model is implemented with a GJR-GARCH-MA-t model for the marginal distributi
Relation:	JOURNAL OF BANKING & FINANCE
Appears in Collections:	[Graduate Institute of Finance] journal & Dissertation

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