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Goodness-of-fit tests for copulas of multivariate time series
Rémillard, Bruno - In: Econometrics : open access journal 5 (2017) 1, pp. 1-23
In this paper, we study the asymptotic behavior of the sequential empirical process and the sequential empirical copula process, both constructed from residuals of multivariate stochastic volatility models. Applications for the detection of structural changes and specification tests of the...
Persistent link: https://www.econbiz.de/10011654178
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The dynamics of exchange rate volatility : a panel VAR approach
Grossmann, Axel; Love, Inessa; Orlov, Alexei G. - In: Journal of international financial markets, … 33 (2014), pp. 1-27
Persistent link: https://www.econbiz.de/10011299874
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A panel-regressions investigation of exchange rate volatility
Grossmann, Axel; Orlov, Alexei G. - In: International journal of finance & economics : IJFE 19 (2014) 4, pp. 303-326
Persistent link: https://www.econbiz.de/10010471892
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Ripples on financial networks
Kumar, Sudarshan; Bansal, Avijit; Chakrabarti, Anindya S. - 2019
Persistent link: https://www.econbiz.de/10012693856
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Crude oil price volatility spillovers and agricultural commodities : a study in time and frequency domains
Adrangi, Bahram; Chatrath, Arjun; Macri, Joseph; … - In: Review of economics & finance 9 (2017) 3, pp. 42-56
Persistent link: https://www.econbiz.de/10011718732
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Dynamic frequency connectedness between oil and natural gas volatilities
Lovcha, Yuliya; Perez-Laborda, Alejandro - In: Economic modelling 84 (2020), pp. 181-189
Persistent link: https://www.econbiz.de/10012210340
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Ripples on financial networks
Kumar, Sudarshan; Bansal, Avijit; Chakrabarti, Anindya S. - In: The European journal of finance 28 (2022) 13/15, pp. 1302-1323
Persistent link: https://www.econbiz.de/10013532199
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Forecasting volatility with Copula-based time series models
Sokolinskiy, Oleg; Dijk, Dick van - 2011
Persistent link: https://www.econbiz.de/10009720755
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How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas
Mzoughi, Hela; Mansouri, Fayçal - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 1-14
Persistent link: https://www.econbiz.de/10010338365
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Impact of nonstationarity on estimating and modeling empirical copulas of daily stock returns
Wollschläger, Marcel; Schäfer, Rudi - In: Journal of risk 19 (2016) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10011579750