Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study

authors

• Wu, Ximing

published proceedings

• JOURNAL OF RISK AND FINANCIAL MANAGEMENT

altmetric score

• 1

author list (cited authors)

• Sun, Y., & Wu, X.

citation count

• 4

complete list of authors

• Sun, Yiguo||Wu, Ximing

publication date

• 2018

publisher

• MDPI  Publisher

published in

• n1911-8074ISSN  Journal

keywords

• Conditional Dependence Index
• Kendall's Tau
• Leverage Effect
• Nonparametric Copula
• Tail Dependence Index
• Volatility Feedback Effect

Digital Object Identifier (DOI)

• 10.3390/jrfm11020029

start page

• 29

end page

• 29

volume

• 11

issue

• 2

URL

• http://dx.doi.org/10.3390/jrfm11020029