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Cited by 393

The DOI matches its Crossref record; 27 of the 27 references it cites were found in a registry or an index.

Dependence patterns across financial markets: a mixed copula approach

Hu, Ling·2006·Applied Financial Economics
DOI 10.1080/09603100500426515
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Abstract

This paper studies the modelling and estimation of dependence across international financial markets, with a focus on the structure of dependence. A new approach is proposed based on a mixed copula model and the model is constructed so that it can capture various patterns of dependence structures. The marginal distribution of asset returns in each market is estimated non-parametrically and a quasi-ML method is used to estimate the mixed copula. The methodology is applied to estimate the dependence across several international stock markets. The empirical findings are shown to have some implications that are important for a wide range of multivariate studies in Economics and Finance.

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Metadata

Authors
Hu, L.
Venue
Applied Financial Economics
Publisher
Informa UK Limited
Published
2006-06-15
Volume
16
Issue
10
Pages
717-729
ISSN
  • 0960-3107 (ISSN-L)
  • 1466-4305
DOI
10.1080/09603100500426515
OpenAlex
W2060512288
Cited by
393
References
27
FWCI
28.38
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Dependence patterns across financial markets: a mixed copula approach. https://app.cochat.ai/papers/10.1080/09603100500426515
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Hu, L. (2006). Dependence patterns across financial markets: a mixed copula approach. Applied Financial Economics. https://doi.org/10.1080/09603100500426515

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.