Dependence of Stock Returns in Bull and Bear Markets
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DOI: 10.2478/demo-2013-0005
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References listed on IDEAS
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- Fabrizio Durante & Enrico Foscolo & Alex Weissensteiner, 2017. "Dependence between Stock Returns of Italian Banks and the Sovereign Risk," Econometrics, MDPI, vol. 5(2), pages 1-14, June.
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Keywords
Bear market; bootstrapping; bull market; conditional Spearman’s rho; copulas; Monte Carlo simulation; Pearson’s rho; stock returns;All these keywords.
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