Citation

Razak, Ruzanna and Ismail, Noriszura (2014) Dependence values of Asia-Pacific stock markets. AIP Conference Proceedings, 1602. pp. 969-974. ISSN 1551-7616

Full text not available from this repository.

Abstract

Return series of stock markets tend to have leptokurtic distribution thus making linear correlation an inappropriate measure of dependence. Copula theory can be used as an alternative to show the dependencies between return series. In this paper, we study the dependence structure of extreme returns between several Asia-Pacific stock markets by applying the Copula based marginal GARCH approach. The results of our study are discussed in this paper.

Item Type:	Article
Subjects:	H Social Sciences > HC Economic History and Conditions
Divisions:	Faculty of Management (FOM)
Depositing User:	Ms Nurul Iqtiani Ahmad
Date Deposited:	14 Aug 2014 04:34
Last Modified:	14 Aug 2014 04:34
URII:	http://shdl.mmu.edu.my/id/eprint/5674

Downloads

Edit (login required)