Search Results - subject:"time varying copula"

Further evidence of contagion effect between the Chinese and the G20 stock markets during the COVID-19 pandemic: A time-varying copula approach

Sghaier, Nadia; Kouki, Mondher; Ben Messaoud, Samia - In: Cogent Economics & Finance 11 (2023) 1, pp. 1-28

over a recent period from 1st January 2013 to 7 April 2022. The empirical study is conducted using the time-varying copula …

Persistent link: https://www.econbiz.de/10015074623

Further evidence of contagion effect between the Chinese and the G20 stock markets during the COVID-19 pandemic : a time-varying copula approach

Sghaier, Nadia; Kouki, Mondher; Ben Messaoud, Samia - In: Cogent economics & finance 11 (2023) 1, pp. 1-28

over a recent period from 1st January 2013 to 7 April 2022. The empirical study is conducted using the time-varying copula …

Persistent link: https://www.econbiz.de/10014500850

Stock market returns and oil price shocks : a CoVaR analysis based on dynamic vine copula models

Kielmann, Julia; Manner, Hans; Min, Aleksey - In: Empirical economics : a quarterly journal of the … 62 (2022) 4, pp. 1543-1574

Persistent link: https://www.econbiz.de/10013197238

Multiscale extreme risk spillovers among the Chinese mainland, Hong Kong, and London stock markets : comparing the impacts of three Stock Connect programs

Yao, Yinhong; Li, Jingyu; Chen, Wei - In: International review of economics & finance : IREF 89 (2024) 1, pp. 1217-1233

Persistent link: https://www.econbiz.de/10014446620

The stable tail dependence and influence among the European stock markets : a score-driven dynamic copula approach

Barnett, William A.; Wang, Xue; Xu, Hai-Chuan; Zhou, … - In: The European journal of finance 29 (2023) 16, pp. 1933-1956

Persistent link: https://www.econbiz.de/10014388527

Climate derivatives strategies as an alternative to set up guaranteed prices for agricultural producers in México

Cruz-Aké, Salvador; García-Ruiz, Reyna Susana; … - In: Applied economics letters 30 (2023) 3, pp. 302-318

Persistent link: https://www.econbiz.de/10013553404

A time-varying copula approach to investigate the dependence structures of BRICS stock markets before and after Covid-19

Karadag, Tugay; Golbasi Simsek, Gulhayat - In: Emerging markets, finance & trade : a journal of the … 59 (2023) 5, pp. 1475-1486

Persistent link: https://www.econbiz.de/10014289696

The effect of dependence on European market risk : a nonparametric time varying approach

Ascorbebeitia, Jone; Ferreira, Eva; Orbe-Mandaluniz, Susan - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 913-923

Persistent link: https://www.econbiz.de/10013534579

Reconstruction and dynamic dependence analysis of global economic policy uncertainty

Liu, Yue; Zheng, Yuhang; Drakeford, Benjamin M - In: Quantitative finance and economics 3 (2019) 3, pp. 550-561

Persistent link: https://www.econbiz.de/10012176595

Time varying integration amongst the South Asian equity markets: An empirical study

Sehgal, Sanjay; Pandey, Piyush; Deisting, Florent - In: Cogent Economics & Finance 6 (2018) 1, pp. 1-26

In this paper, we examine the dynamic nature of equity market integration for the South Asian countries. The daily data for local equity indices are used from 6 January 2004 to 31 March 2015. Copula GARCH models and Diebold and Yilmaz methodology have been employed to study the inter-temporal...

Persistent link: https://www.econbiz.de/10011988844