E. 0) license. 0 International (CC BY-SA 4. On the relation between the expected value and the volatility of the nominal excess return on stocks.
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tb05128.
http://dx. 1993. The empirical results provide evidence of three
regime changes, representing precrisis, financial crisis and post-crisis, in
the dependence structure between energy and GCC stock markets. In particular,
in the pre- and post-crisis regimes, there is no dependence, while in the
crisis regime, there is significant tail dependence.
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. has been cited by the following article:1Department of Statistics and Actuarial Science, Dedan Kimathi University of Technology, Nyeri, KenyaThis website uses cookies to ensure you get the best experience. , Runkle, D. 4,
July
29,
2016
ABSTRACT: This paper proposes a Markov-switching
copula model to examine the presence of regime change in the time-varying
dependence structure between oil price changes and stock market returns in six
GCC countries. doi.
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VaR experiments show that the Markov-switching time- varying copula
model performs better than the time-varying copula model.
visit our website Content on this site is licensed under a Creative Commons Attribution-ShareAlike 4. and Runkle, D. , Jagannathan, R.
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R. 6 No. , Jagannathan, R. 0 Universal (CC0) Public Domain Dedication.
5 Unexpected Data Management And Analysis For Monitoring And Evaluation In Development That Will The Use Of R For Data Analysis
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