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Oil price shocks against stock return of oil- and gas-related firms in the economic depression : a new evidence from a copula approach
Thu Thuy Nguyen; Nguyen Van Chien; Tran Trong Nguyen - In: Cogent economics & finance 8 (2020) 1, pp. 1-20
This research examines the influence of world crude oil price shocks on the financial performance of Vietnamese oil … receive more stock returns. The results further demonstrate that world oil price fluctuations have significantly impacted on … depression of 2011-2012, the study reveals no evidence in the relationship between world oil price fluctuations and stock returns …
Persistent link: https://www.econbiz.de/10013179488
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Analysis of nonlinear comovement of benchmark Thai government bond yields
Rewat Khanthaporn - 2022
Persistent link: https://www.econbiz.de/10013429426
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Tail dependence in emerging ASEAN-6 equity markets : empirical evidence from quantitative approaches
Duy Duong; Toan Luu Duc Huynh - In: Financial innovation : FIN 6 (2020) 4, pp. 1-26
determining the dependence structure in ASEAN stock markets. Drawing on the emerging ASEAN equity returns of six countries from … to explain these co-movements. Among all research return pairs, the dependence between Vietnam and other ASEAN equity … indices has the lowest value. Meanwhile, all couples show left- and right- tail dependence by each pair for pre- and post …
Persistent link: https://www.econbiz.de/10012268531
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Are short term stock asset returns predictable? : an extended empirical analysis
Mazzoni, Thomas - 2010
Persistent link: https://www.econbiz.de/10003977437
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Stock returns and risk : evidence from quantile
Chiang, Thomas C.; Li, Jiandong - In: Journal of risk and financial management : JRFM 5 (2012) 1, pp. 20-58
This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...
Persistent link: https://www.econbiz.de/10011555867
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Volatility regimes of selected central European stock returns : a Markov switching GARCH approach
Chocholatá, Michaela - In: Journal of business economics and management 23 (2022) 4, pp. 876-894
This paper investigates the weekly stock market data of the Hungarian stock index BUX, the Czech stock index PX and the Polish stock index WIG20 spanning from January 7, 2001 to April 18, 2021. The period of more than 20 years enabled to analyse the behaviour of returns and their volatility...
Persistent link: https://www.econbiz.de/10013499116
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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011
Persistent link: https://www.econbiz.de/10009720703
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Intraday stock price dependence using dynamic discrete copula distributions
Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2015
Persistent link: https://www.econbiz.de/10010494787
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Dynamic copula-based Markov chains at work : theory, testing and performance in modeling daily stock returns
Tinkl, Fabian; Reichert, Katja - 2011
We generalize the score test for time-varying copula parameters proposed by [Abegaz & Naik-Nimbalkar, 2008] to a setting where more than one-parametric copulas can be tested for time variation in at least one parameter. In a next step we model the daily log returns of the Commerzbank stock using...
Persistent link: https://www.econbiz.de/10009234734
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A Revisit to the Dependence Structure between Stock and Foreign Exchange Markets : A Dependence-Switching Copula Approach
Wang, Yi-Chiuan - 2012
This paper develops a dependence-switching copula model to examine dependence and tail dependence for four different … major industrial countries over the period 1990-2010. It is found that the dependence and tail dependence among the above …
Persistent link: https://www.econbiz.de/10013107722