Potential Dependence of Financial Cycles between Emerging and Developed Countries: Based on ARIMA-GARCH Copula Model

Autor:	Tinghui Li, Junhao Zhong, Zimei Huang
Rok vydání:	2019
Předmět:	Finance 050208 finance business.industry Autoregressive conditional heteroskedasticity 0502 economics and business 05 social sciences Economics Autoregressive integrated moving average 050207 economics business General Economics Econometrics and Finance Copula (probability theory)
Zdroj:	Emerging Markets Finance and Trade. 56:1237-1250
ISSN:	1558-0938 1540-496X
DOI:	10.1080/1540496x.2019.1611559
Popis:	The characteristics and dependence structures of financial cycles have become a central issue in macroeconomic policy. Our study quantifies the dependence of financial cycles in emerging and develo...
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::99a982119c2f835eaf3f3bed68426c92 https://doi.org/10.1080/1540496x.2019.1611559 Zobrazit plný text záznamu