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Asymmetric increasing trends in dependence in international equity markets
Tatsuyoshi Okimoto
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Business & Economics
Copula
14%
Economic Significance
16%
Equity Markets
13%
Expected Shortfall
17%
GARCH Model
14%
International Equity Markets
100%
Multiple Regimes
21%
Risk Measures
13%
Smooth Transition
17%
Usefulness
11%
Value at Risk
30%