Extreme Correlation and Asset Allocation in International Stock Markets
博士 === 國立高雄第一科技大學 === 管理研究所 === 96 === This study intends to explore the correlation of extreme returns between stock markets and its implications to the asset allocation. Two extreme value theory based approaches are used to measure the extent of extreme co-movements. One is the conditional correla...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2008
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| Online Access: | http://ndltd.ncl.edu.tw/handle/7m58cn |