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Dependence dynamics among exchange rates, commodities and the Brazilian stock market using the R-vine SCAR model
Salgado, Daniel Henrique; Candido, Osvaldo - In: Journal of risk 21 (2018/2019) 2, pp. 37-62
Persistent link: https://www.econbiz.de/10011981418
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Does the US stock market information matter for European equity market volatility : a multivariate perspective?
Tang, Yusui; Ma, Feng; Wahab, M. I. M.; Wei, Yu - In: Applied economics 54 (2022) 58, pp. 6726-6743
Persistent link: https://www.econbiz.de/10013494246
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Forecasting nonlinear dependency between cryptocurrencies and foreign exchange markets using dynamic copula : evidence from GAS models
Mili, Mehdi; Bouteska, Ahmed - In: The journal of risk finance : JRF 24 (2023) 4, pp. 464-482
Persistent link: https://www.econbiz.de/10014338629
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A practical multivariate approach to testing volatility spillover
Leong, Soon Heng; Urga, Giovanni - 2023
Persistent link: https://www.econbiz.de/10014371827
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A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs
Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of banking & finance 125 (2021), pp. 1-20
Persistent link: https://www.econbiz.de/10012819586
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Nonlinear causality tests and multivariate conditional heteroskedasticity : a simulation study
Pavlidis, Efthymios G.; Payá, Ivan; Peel, David - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 3, pp. 297-312
Persistent link: https://www.econbiz.de/10009740330
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Selecting volatility forecasting models for portfolio allocation purposes
Becker, Ralf; Clements, Adam; Doolan, M. B.; Hurn, Stan - In: International journal of forecasting 31 (2015) 3, pp. 849-861
Persistent link: https://www.econbiz.de/10011474597
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Riding with the four horsemen and the multivariate normal tempered stable model
Bianchi, Michele Leonardo; Tassinari, Gian Luca; … - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10011523819
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COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
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The role of multivariate skew-student density in the estimation of stock market crashes
Wu, Lei; Meng, Qingbin; Velazquez, Julio C. - In: The European journal of finance 21 (2015) 13/15, pp. 1144-1160
Persistent link: https://www.econbiz.de/10011419786