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Volatility of real GDP : some evidence from the United States, the United Kingdom and Japan

Hamori, Shigeyuki - In: Japan and the world economy : international journal of … 12 (2000) 2, pp. 143-152

Persistent link: https://www.econbiz.de/10001471652

Modeling interest rate volatility : a Realized GARCH approach

Tian, Shuairu; Hamori, Shigeyuki - In: Journal of banking & finance 61 (2015), pp. 158-171

Persistent link: https://www.econbiz.de/10011545170

Modeling dependence structures among international stock markets : evidence from hierarchical Archimedean copulas

Yang, Lu; Cai, Xiao Jing; Mengling Li; Hamori, Shigeyuki - In: Economic modelling 51 (2015), pp. 308-314

Persistent link: https://www.econbiz.de/10011476020

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

We studied the dependence structure between West Texas Intermediate (WTI) oil prices and the exchange rates of BRICS1 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...

Persistent link: https://www.econbiz.de/10012021992

Dynamic correlation and equicorrelation analysis of global financial turmoil : evidence from emerging East Asian stock markets

Cai, Xiao Jing; Tian, Shuairu; Hamori, Shigeyuki - In: Applied economics 48 (2016) 40/42, pp. 3789-3803

Persistent link: https://www.econbiz.de/10011628092

Asymmetric correlations in gold and other financial markets

Miyazaki, T.; Hamori, Shigeyuki - In: Applied economics 48 (2016) 46/48, pp. 4419-4425

Persistent link: https://www.econbiz.de/10011640106

Greek sovereign bond index, volatility, and structural breaks

Tamakoshi, Go; Hamori, Shigeyuki - In: Journal of economics and finance 38 (2014) 4, pp. 687-697

Persistent link: https://www.econbiz.de/10011333815

Volatility and causality in strategic commodities : characteristics, myth and evidence

Youngho, Chang; Fang, Zheng; Hamori, Shigeyuki - In: International journal of economics and finance 9 (2017) 8, pp. 162-178

Persistent link: https://www.econbiz.de/10011714755

Gold prices and exchange rates : a time-varying copula analysis

Yang, Lu; Hamori, Shigeyuki - In: Applied financial economics 24 (2014) 1/3, pp. 41-50

Persistent link: https://www.econbiz.de/10010389374

Modeling the dynamis of international agricultural commodity prices : a comparison of GARCH and stochastic volatility models

Yang, Lu; Hamori, Shigeyuki - In: Annals of financial economics 13 (2018) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10011958469