Tail dependence between Central and Eastern European and major European stock markets (Record no. 163235)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 01470nam a22002417a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20230912122621.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 230912b |||||||| |||| 00| 0 eng d |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | MSU |
| Transcribing agency | MSU |
| Description conventions | rda |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | DAJCMAN, Silvo |
| 245 ## - TITLE STATEMENT | |
| Title | Tail dependence between Central and Eastern European and major European stock markets |
| Remainder of title | a copula approach |
| 264 ## - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Place of production, publication, distribution, manufacture | New York |
| Name of producer, publisher, distributor, manufacturer | Taylor & Francis |
| Date of production, publication, distribution, manufacture, or copyright notice | 2013 |
| 336 ## - CONTENT TYPE | |
| Source | rdacontent |
| Content type term | text |
| Content type code | txt |
| 337 ## - MEDIA TYPE | |
| Source | rdamedia |
| Media type term | unmediated |
| Media type code | n |
| 338 ## - CARRIER TYPE | |
| Source | rdacarrier |
| Carrier type term | volume |
| Carrier type code | nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE | |
| Title | Applied Economics Letters |
| Volume/sequential designation | Volume , number , |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This article analyses dynamic tail dependence between the returns of the three largest Central and Eastern European (CEE) stock markets (Hungary, Czech Republic and Poland) and two major Eurozone stock markets (Germany and France). Tail dependence is modelled by a constant and dynamic ‘symmetrized Joe-Clayton’ (SJC) copula assuming GARCH stock market return processes. The results of the dynamic SJC copula model show that the dependence between pair-wise observed stock markets is time-varying and asymmetric with lower tail dependence mostly exceeding upper tail dependence. The results of the article imply that advantages of international portfolio diversification are reduced in downturns. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Central and Eastern Europe |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | stock market |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | dependence |
| 856 ## - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | https://doi.org/10.1080/13504851.2013.829185 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Library of Congress Classification |
| Koha item type | Journal Article |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Shelving location | Date acquired | Serial Enumeration / chronology | Total Checkouts | Full call number | Date last seen | Price effective from | Koha item type | Public note |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Library of Congress Classification | Main Library | Main Library | - Special Collections | 12/09/2023 | Vol.20 , No.16 - 18 (Dec 2013) | HB1.A666 APP | 12/09/2023 | 12/09/2023 | Journal Article | For In House Use Only |