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The impact of the 2008 and 2010 financial crises on international stock markets: contagion and long memory

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Academic year: 2021

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Figure  1  shows  a  random  draw  of  2000  data  points  from  distribution  functions  obtained from: (1) Clayton copula with = 1.5; (2) Clayton copula with = 3; (3) Gumbel  copula  with  = 2;  (4) Gumbel  copula  with= 3
Table 1 – Adjusted ARMA-GARCH models to the returns under study
Figure 2 – Volatility trends of filtered stock and bond returns
Table 3 – Selected copulas
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