New Evidence of Asymmetric Dependence Structures in International Equity Markets

Okimoto, Tatsuyoshi

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New Evidence of Asymmetric Dependence Structures in International Equity Markets

Date

2008

Authors

Okimoto, Tatsuyoshi

Publisher

Cambridge Journals

Abstract

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

URI

http://hdl.handle.net/1885/28637

Collections

ANU Research Publications

Source

Journal of Financial and Quantitative Analysis

Type

Journal article

DOI

10.1017/S0022109000004294

Restricted until

2037-12-31

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New Evidence of Asymmetric Dependence Structures in International Equity Markets

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