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A study on equity home bias using vine copula approach
Garg, Jyoti; Karmakar, Madhusudan; Paul, Samit - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014246917
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Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence
Mo, Guoli; Zhang, Weiguo; Tan, Chunzhi; Liu, Xing - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-23
Persistent link: https://www.econbiz.de/10013413442
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Multiscale financial risk contagion between international stock markets : evidence from EMD-Copula-CoVaR analysis
Changqing, Luo; Liu, Lan; Wang, Da - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-24
Persistent link: https://www.econbiz.de/10013187623
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A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors
Quatto, Piero; Vacca, Gianmarco; Zoia, Maria Grazia - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-22
Persistent link: https://www.econbiz.de/10013187663
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GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets
Yao, Can-Zhong; Li, Min-Jian - In: The North American journal of economics and finance : a … 66 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014483642
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A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection
Jiang, Cuixia; Ding, Xiaoyi; Xu, Qifa; Tong, Yongbo - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012659611
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Does REIT index hedge inflation risk? : new evidence from the tail quantile dependences of the Markov-switching GRG copula
Chang, Kuang-Liang - In: The North American journal of economics and finance : a … 39 (2017), pp. 56-67
Persistent link: https://www.econbiz.de/10011878580
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Extreme dependence and risk spillovers across north american equity markets
Warshaw, Evan - In: The North American journal of economics and finance : a … 47 (2019), pp. 237-251
Persistent link: https://www.econbiz.de/10012117855
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Evaluation of multivariate GARCH models in an optimal asset allocation framework
Nor Syahilla Abdul Aziz; Vrontos, Spyridon; Hasim, … - In: The North American journal of economics and finance : a … 47 (2019), pp. 568-596
Persistent link: https://www.econbiz.de/10012120131
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Does idiosyncratic volatility matter at the global level?
Umutlu, Mehmet - In: The North American journal of economics and finance : a … 47 (2019), pp. 252-268
Persistent link: https://www.econbiz.de/10012117857