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Markets liquidity risk under extremal dependence: Analysis with VaRs methods

Ourir, Awatef; Snoussi, Wafa - In: Economic Modelling 29 (2012) 5, pp. 1830-1836

to the VaR when dependence is considered. The efficiency of those methods was tested and compared using the backtesting …

Persistent link: https://www.econbiz.de/10010597521

Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach

Girardin, Eric; Joyeux, Roselyne - In: Economic Modelling 34 (2013) C, pp. 59-68

In order to shed new light on the influence of volume and economic fundamentals on the long-run volatility of the Chinese stock market we follow the methodology introduced by Engle et al. (2009) and Engle and Rangel (2008) to account for the effects of macro fundamentals, and augment it with...

Persistent link: https://www.econbiz.de/10010709340

Wavelet based outlier correction for power controlled turning point detection in surveillance systems

Li, Yushu - In: Economic Modelling 30 (2013) C, pp. 317-321

Detection turning points in unimodel has various applications to time series which have cyclic periods. Related techniques are widely explored in the field of statistical surveillance, that is, on-line turning point detection procedures. This paper will first present a power controlled turning...

Persistent link: https://www.econbiz.de/10010608283

Testing for fiscal sustainability: New evidence from the G-7 and some European countries

Chen, Shyh-Wei - In: Economic Modelling 37 (2014) C, pp. 1-15

Whether or not a government deficit is sustainable has important implications for policy. If the debt of a nation is sustainable, then it implies that the government should have no incentive to default on its internal debt. In this article we examine whether or not the debt-GDP ratios of the G-7...

Persistent link: https://www.econbiz.de/10010744016

Industry co-movements of American depository receipts: Evidences from the copula approaches

Lee, Chien-Chiang; Chang, Chi-Hung; Chen, Mei-Ping - In: Economic Modelling 46 (2015) C, pp. 301-314

This paper applies the distinct copula model specifications with time-invariant and time-varying dependence structures …

Persistent link: https://www.econbiz.de/10011208948

A wavelet decomposition approach to crude oil price and exchange rate dependence

Reboredo, Juan C.; Rivera-Castro, Miguel A. - In: Economic Modelling 32 (2013) C, pp. 42-57

pre-crisis period; however, we did find evidence of contagion and negative dependence after the onset of the crisis …

Persistent link: https://www.econbiz.de/10010664397

Analyzing the dependence structure of various sectors in the Brazilian market: A Pair Copula Construction approach

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Economic Modelling 35 (2013) C, pp. 199-206

In this paper we estimate the dependence structure between economic sectors in the Brazilian financial market through … structure. BB1, BB7, BB8, Frank and Joe copulas also fit into some relationships. Regarding dependence, tail measures obtain … relevant values in most relationships. Lower tail dependence exceeds absolute, measured by Kendall's Tau, and upper tail in …

Persistent link: https://www.econbiz.de/10010719397