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Assessing market risk in BRICS and oil markets : an application of Markov switching and vine copula

Muteba Mwamba, John; Mwambi, Sutene Mwambetania - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-22

This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics. For this purpose, we employ a combination of novel...

Persistent link: https://www.econbiz.de/10012545199

Hedge funds portfolio optimisation using a vine copula-GARCH-EVT-CVaR model

Bedoui, Rihab; Noiali, Sameh; Hamdi, Haykel - In: International journal of entrepreneurship and small … 39 (2020) 1/2, pp. 121-148

Persistent link: https://www.econbiz.de/10012176750

The shifting dependence dynamics between the G7 stock markets

BenSaïda, Ahmed; Boubaker, Sabri; Nguyen, Duc Khuong - In: Quantitative finance 18 (2018) 5, pp. 801-812

Persistent link: https://www.econbiz.de/10011907944

Measuring risk spillovers from multiple developed stock markets to China : a vine-copula-GARCH-MIDAS model

Jiang, Cuixia; Li, Yuqian; Xu, Qifa; Liu, Yezheng - In: International review of economics & finance : IREF 75 (2021), pp. 386-398

Persistent link: https://www.econbiz.de/10012692552

Financial stress relationships among Euro area countries : an R-vine copula approach

Zhang, Dalu; Yan, Meilan; Tsopanakis, Andreas - In: The European journal of finance 24 (2018) 17, pp. 1587-1608

Persistent link: https://www.econbiz.de/10012259087

The risk spillovers from the Chinese stock market to major East Asian stock markets : a MSGARCH-EVT-copula approach

Yang, Xiao - In: International review of economics & finance : IREF 65 (2020), pp. 173-186

Persistent link: https://www.econbiz.de/10012385325

Relationship between stock and currency markets conditional on the US stock returns : a vine copula approach

Tachibana, Minoru - In: Journal of multinational financial management 46 (2018), pp. 75-106

Persistent link: https://www.econbiz.de/10012055790

Nonlinear and asymmetric interconnectedness of crude oil with financial and commodity markets

Okhrin, Yarema; Uddin, Mohammed Gazi Salah; Yahya, Muhammad - In: Energy economics 125 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014485235

Revisiting the accuracy of standard VaR methods for risk assessment : using the Copula-EVT multidimensional approach for stock markets in the MENA region

Chebbi, Ali; Hedhli, Amel - In: The quarterly review of economics and finance : journal … 84 (2022), pp. 430-445

Persistent link: https://www.econbiz.de/10013335886

Quantifying foreign exchange risk in the selected listed sectors of the Johannesburg Stock Exchange : an SV-EVT pairwise copula approach

Eita, Joel Hinaunye; Djemo, Charles Raoul Tchuinkam - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-29

This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the underlying assets with some selected listed stock indices. We...

Persistent link: https://www.econbiz.de/10013252765