Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets
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DOI: 10.1016/j.irfa.2018.07.005
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More about this item
Keywords
C32; C58; G1;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G1 - Financial Economics - - General Financial Markets
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