References
- Ang, A. and Chen, J. (2002) Asymmetric correlations of equity portfolios, Journal of Financial Economics, 63, 443–94.
- Blanchard, O., Dell’Ariccia, G. and Mauro, P. (2013) Rethinking Macroeconomic Policy II: Getting Granular, IMF Staff Discussion Note 13/03, IMF, Washington, DC.
- Dajcman, S., Festic, M. and Kavkler, A. (2012) European stock market comovement dynamics during some major financial market turmoils in the period 1997 to 2010 – a comparative DCC-GARCH and wavelet correlation analysis, Applied Economics Letters, 19, 1249–56.
- Hong, Y., Tu, J. and Zhou, G. (2007) Asymmetries in stock returns: statistical tests and economic evaluation, Review of Financial Studies, 20, 1547–81.
- Kim, G., Silvapulle, M. J. and Silvapulle, P. (2007) Comparisons of semiparametric and parametric methods for estimating copulas, Computational Statistics & Data Analysis, 51, 2836–50.
- Patton, A. (2006a) Modelling asymmetric exchange rate, International Economic Review, 47, 527–56.
- Patton, A. (forthcoming) Copula methods for forecasting multivariate time series, in Handbook of Economic Forecasting, Vol. 2A, 1st edn (Eds.) G. Elliott and A. Timmermann, Springer Verlag. Available at http://store.elsevier.com/Handbook-of-Economic-Forecasting-Vol-2A/isbn-9780444536839/ (accessed 5 August 2013).
- Patton, A. J. (2006b) Estimation of multivariate models for time series of possibly different lengths, Journal of Applied Econometrics, 21, 147–73.
- Sklar, A. (1959) Fonctions de Repartition a N Dimensions et Leurs Marges, Publications De L’institut De Statistique De L’université De Paris, 8, 229–31.
![Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.]({"type":"image" , "src" : "/sda/112440/MPU-Jenni-AI-ECONOMICS.png"})