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Nonlinear tail dependence in cryptocurrency-stock market returns : the role of Bitcoin futures
Lahiani, Amine; Jeribi, Ahmed; Boukef Jlassi, Nabila - In: Research in international business and finance 56 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10013266088
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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
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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
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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
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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
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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
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Portfolio management using time-varying vine copula : an application on the G7 equity market indices
Nguyen, Phong Minh; Liu, Wei-Han - In: The European journal of finance 29 (2023) 11, pp. 1303-1329
Persistent link: https://www.econbiz.de/10014323006
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A revisit to the dependence structure between the stock and foreign exchange markets : a dependence-switching copula approach
Wang, Yi-chiuan; Wu, Yyh-lin; Lai, Yi-hao - In: Journal of banking & finance 37 (2013) 5, pp. 1706-1719
Persistent link: https://www.econbiz.de/10009729473
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An analysis of dependence between Central and Eastern European stock markets
Reboredo, Juan Carlos; Tiwari, Aviral Kumar; Albulescu, … - In: Economic systems 39 (2015) 3, pp. 474-490
Persistent link: https://www.econbiz.de/10011532315
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Dynamic dependence of the global Islamic equity index with global conventional equity market indices and risk factors
Hammoudeh, Shawkat; Mensi, Walid; Reboredo, Juan Carlos; … - In: Pacific-Basin finance journal 30 (2014), pp. 189-206
Persistent link: https://www.econbiz.de/10010496348