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dc.contributor.authorWang, Kehluhen_US
dc.contributor.authorChen, Yi-Hsuanen_US
dc.contributor.authorHuang, Szu-Weien_US
dc.date.accessioned2014-12-08T15:19:45Z-
dc.date.available2014-12-08T15:19:45Z-
dc.date.issued2011-10-01en_US
dc.identifier.issn1059-0560en_US
dc.identifier.urihttp://dx.doi.org/10.1016/j.iref.2010.12.003en_US
dc.identifier.urihttp://hdl.handle.net/11536/14025-
dc.description.abstractThe 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. (C) 2010 Elsevier Inc. All rights reserved.en_US
dc.language.isoen_USen_US
dc.subjectDependence structureen_US
dc.subjectTime-varying copulaen_US
dc.subjectInternational investmenten_US
dc.subjectChinese marketen_US
dc.subjectDiversificationen_US
dc.titleThe dynamic dependence between the Chinese market and other international stock markets: A time-varying copula approachen_US
dc.typeArticleen_US
dc.identifier.doi10.1016/j.iref.2010.12.003en_US
dc.identifier.journalINTERNATIONAL REVIEW OF ECONOMICS & FINANCEen_US
dc.citation.volume20en_US
dc.citation.issue4en_US
dc.citation.spage654en_US
dc.citation.epage664en_US
dc.contributor.department資訊管理與財務金融系 註:原資管所+財金所zh_TW
dc.contributor.departmentDepartment of Information Management and Financeen_US
dc.identifier.wosnumberWOS:000292360300016-
dc.citation.woscount11-
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