{"title":"国际股票市场之间的泡沫和依赖","authors":"Wuyi Ye, Lingbo Gao, Xiaoquan Liu","doi":"10.1080/14697688.2023.2278508","DOIUrl":null,"url":null,"abstract":"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...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":null,"pages":null},"PeriodicalIF":1.5000,"publicationDate":"2023-11-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Bubbles and dependence between international equity markets\",\"authors\":\"Wuyi Ye, Lingbo Gao, Xiaoquan Liu\",\"doi\":\"10.1080/14697688.2023.2278508\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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...\",\"PeriodicalId\":20747,\"journal\":{\"name\":\"Quantitative Finance\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.5000,\"publicationDate\":\"2023-11-23\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Quantitative Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://doi.org/10.1080/14697688.2023.2278508\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quantitative Finance","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/14697688.2023.2278508","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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...
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.
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