New Evidence of Asymmetric Dependence Structures in International Equity Markets
A number of recent studies finds two asymmetries in dependence structures in international equity markets; specifically, dependence tends to be high in both highly volatile markets and in bear markets. In this paper, a further investigation of asymmetric
|Collections||ANU Research Publications|
|Source:||Journal of Financial and Quantitative Analysis|
|01_Okimoto_New_Evidence_of_Asymmetric_2008.pdf||519.01 kB||Adobe PDF||Request a copy|
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.