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- W2145928145 abstract "This paper studies the dependence structure on Central European, German and UK stock markets within the framework of a semiparametric copula model for weekly stock index return pairs. Although the linear correlation is much lower, we find similar degree of lower tail dependence as between returns on stocks indices representing developed markets. We show in a simulation exercise that the implications of the estimated nonlinear dependencies for portfolio selection and risk management may be not only statisticaly but also economicaly important." @default.
- W2145928145 created "2016-06-24" @default.
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- W2145928145 date "2007-01-01" @default.
- W2145928145 modified "2023-09-27" @default.
- W2145928145 title "Dependence Structure and Portfolio Diversification on Central European Stock Markets" @default.
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- W2145928145 hasPublicationYear "2007" @default.
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