国际股票市场之间的泡沫和依赖

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2023-11-23 DOI:10.1080/14697688.2023.2278508

Wuyi Ye, Lingbo Gao, Xiaoquan Liu

引用次数: 0

摘要

在本研究中，我们建立了一个基于copula的马尔可夫政权转换模型，利用资产价格泡沫中的信息来探索国际股票市场之间的动态依赖关系。这……

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Bubbles and dependence between international equity markets

In this study, we develop a copula-based Markov regime-switching model using information contained in asset price bubbles to explore the dynamic dependence between international equity markets. Thi...

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.