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Modeling the dependence structure of share prices among three Chinese city banks
Liu, Guizhou; Cai, Xiao Jing; Hamori, Shigeyuki - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-18
copula models. We use the normal, Student's t, rotated Gumbel, and symmetrized Joe-Clayton (SJC) copula models to estimate … show the dynamic dependence structures among three city banks using time-varying copula. …
Persistent link: https://www.econbiz.de/10012611072
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Conditional dependence between oil prices and exchange rates in BRICS countries: An application of the copula-GARCH model
He, Yijin; Hamori, Shigeyuki - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-25
countries, using copula models. We used the Normal, Plackett, rotated-Gumbel, and Student's t copulas to measure the constant … dependence, and we captured the dynamic dependence using the Generalized Autoregressive Score with the Student's t copula. We … at Risk and Expected Shortfall from the time-varying copula models. We found that both reach low values when the oil …
Persistent link: https://www.econbiz.de/10012611099
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Conditional dependence between oil prices and exchange rates in BRICS countries : an application of the copula-GARCH model
He, Yijin; Hamori, Shigeyuki - In: Journal of risk and financial management : JRFM 12 (2019) 2/99, pp. 1-25
countries, using copula models. We used the Normal, Plackett, rotated-Gumbel, and Student's t copulas to measure the constant … dependence, and we captured the dynamic dependence using the Generalized Autoregressive Score with the Student's t copula. We … at Risk and Expected Shortfall from the time-varying copula models. We found that both reach low values when the oil …
Persistent link: https://www.econbiz.de/10012021992
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Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries
Yang, Lu; Yang, Lei; Hamori, Shigeyuki - In: International review of financial analysis 59 (2018), pp. 19-34
Persistent link: https://www.econbiz.de/10012006896
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Modeling the dependence structure of share prices among three Chinese city banks
Liu, Guizhou; Cai, Xiao Jing; Hamori, Shigeyuki - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-18
copula models. We use the normal, Student’s t, rotated Gumbel, and symmetrized Joe-Clayton (SJC) copula models to estimate … show the dynamic dependence structures among three city banks using time-varying copula. …
Persistent link: https://www.econbiz.de/10011961448
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Dependence structures and risk spillover in China's credit bond market : a copula and CoVaR approach
Yang, Lu; Yang, Lei; Ho, Kung-Cheng; Hamori, Shigeyuki - In: Journal of Asian economics 68 (2020)
Persistent link: https://www.econbiz.de/10012513082
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Energy Trading and Risk Management : Commentary on Arbitrage, Risk Measurement, and Hedging Strategy
Nakajima, Tadahiro; Hamori, Shigeyuki - 2022
hedge ratio, copula, value-at-risk (VaR), expected shortfall, vector autoregressive (VAR) models, vector moving average (VMA …
Persistent link: https://www.econbiz.de/10013431279