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- W4231342693 abstract "The purpose of this paper is to study the dependence structures between the Chinese market and other major world markets, a reflection of China's increasing integration into the global economy. We used time-varying copula models to show that conditional copulas outperform both unconditional copulas and conventional GARCH models. We consistently found the Chinese market to have the highest levels of dependence, as well as the greatest variability in dependence, with markets in Japan and the Pacific. Our results provide investors interested in the Chinese market with more timely suggestions for portfolio diversification, risk management, and international asset allocation than those derived from static models." @default.
- W4231342693 created "2022-05-12" @default.
- W4231342693 date "2015-09-01" @default.
- W4231342693 modified "2023-09-30" @default.
- W4231342693 title "Quoi de neuf ?" @default.
- W4231342693 doi "https://doi.org/10.1016/j.jpp.2015.04.007" @default.
- W4231342693 hasPublicationYear "2015" @default.
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