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New Evidence of Asymmetric Dependence Structures in International Equity Markets

Okimoto, Tatsuyoshi

Description

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

CollectionsANU Research Publications
Date published: 2008
Type: Journal article
URI: http://hdl.handle.net/1885/28637
Source: Journal of Financial and Quantitative Analysis
DOI: 10.1017/S0022109000004294

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