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Commodity indexes and the stock markets of the GCC countries

Azar, Samih Antoine; Chopurian, Nazo Assadour - In: Arab economic and business journal 13 (2018) 2, pp. 134-142

Much research is devoted to the study of the effect of oil on GCC markets. The link is evident, although waning. Little is known about the effect of other commodities, maybe because intuitively they are thought not to impact significantly these markets. However a finding of independence, or...

Persistent link: https://www.econbiz.de/10011956237

A new test procedure for the choice of dependence structure in risk measurement : application to the US and UK stock market indices

Shim, Jeungbo; Lee, Eun-joo; Lee, Seung-Hwan - In: Applied economics 48 (2016) 13/15, pp. 1382-1389

Persistent link: https://www.econbiz.de/10011433225

Modelling impact of monetary policy on stock market liquidity : a dynamic copula approach

Chu, Xiaojun - In: Applied economics letters 22 (2015) 10/12, pp. 820-824

Persistent link: https://www.econbiz.de/10011286077

Three essays on extremes and non-linearities in asset pricing

Riedel, Christoph - 2013

-linear pattern, the paper employs several copula functions to model the conditional bivariate time series dependence structure. The … inspection of the empirical results clearly indicates the Clayton copula function to provide the best formula describing the …

Persistent link: https://www.econbiz.de/10010337273