Dependence patterns among Asian banking sector stocks: A copula approach

[Display omitted] •The dependence structure between banking sector stocks in Asia is examined.•Static and time-varying copula specifications are applied.•Correlations remain at moderate levels dependence is mostly asymmetric.•We find a mild increase in bivariate dynamic correlations during crisis pe...

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Bibliographic details
Volume: 41
Main Author: Mensah, Jones Odei
Premaratne, Gamini
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: AMSTERDAM Elsevier B.V 01.10.2017
ELSEVIER SCIENCE BV
published in: Research in international business and finance Vol. 41; pp. 516 - 546
ORCID: 0000-0002-7086-0298
Data of publication: October 2017
ISSN: 0275-5319
1878-3384
EISSN: 1878-3384
Discipline: Business
Subjects:
C32
G11
G10
F36
G15
F37
Online Access: available in Bonn?
Database: Social Sciences Citation Index
Web of Science - Social Sciences Citation Index - 2017
Web of Knowledge
Web of Science
CrossRef
Academic OneFile (A&I only)
Database information Databases - DBIS