Dependence between Croatian and European stock markets – A copula GARCH approach
The objective of this paper is to analyze dependence structure between the returns of Croatian and five European stock markets (Austrian, French, German, Italian, and the U.K.'s). We propose a copula GARCH approach, where the return series are modeled as univariate GARCH processes and the depen...
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| Format: | Article |
| Language: | deu |
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Faculty of Economics University of Rijeka
2013-12-01
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| Series: | Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu |
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| Online Access: | https://www.efri.uniri.hr/sites/efri.uniri.hr/files/cr-collections/2/06-dajcman-2013-2.pdf |