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Industry co-movements of American depository receipts : evidences from the copula approaches
Lee, Chien-chiang; Chang, Chi-Hung; Chen, Mei-Ping - In: Economic modelling 46 (2015), pp. 301-314
Persistent link: https://www.econbiz.de/10011436620
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Effectiveness of copula-extreme value theory in estimating value-at-risk : empirical evidence from Asian emerging markets
Hsu, Chun-pin; Huang, Chin-wen; Chiou, Wan-jiun Paul - In: Review of quantitative finance and accounting 39 (2012) 4, pp. 447-468
Persistent link: https://www.econbiz.de/10009690403
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Analysing dynamic dependence between gold and stock returns : evidence using stochastic and full-range tail dependence copula models
Boako, Gideon; Tiwari, Aviral Kumar; Ibrahim, Muazu; … - In: Finance research letters 31 (2019), pp. 391-397
Persistent link: https://www.econbiz.de/10012421744
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Stock-bond return correlations : moving away from "one-frequency-fits-all" by extending the DCC-MIDAS approach
Allard, Anne-Florence; Iania, Leonardo; Smedts, Kristien - In: International review of financial analysis 71 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012437127
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Dependence between the Chinese and MILA stock markets
Mata, Leovardo; Núñez Mora, Josê Antonio - In: Journal of Chinese economic and foreign trade studies 9 (2016) 3, pp. 234-244
Persistent link: https://www.econbiz.de/10011622806
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Modelling tail dependence between energy market and stock markets in the BRIC countries
Pan, Zhiyuan - In: Applied economics letters 21 (2014) 10/12, pp. 789-794
Persistent link: https://www.econbiz.de/10010416269
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Interdependence of oil prices and stock market indices : a copula approach
Sukcharoen, Kunlapath; Zohrabyan, Tatevik; Leatham, David J. - In: Energy economics 44 (2014), pp. 331-339
Persistent link: https://www.econbiz.de/10010457169
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The dependence structure in volatility between Shanghai and Shenzhen stock market in China : a copula-MEM approach
Guo, Mingyuan; Wang, Xu - In: China finance review international 6 (2016) 3, pp. 264-283
Persistent link: https://www.econbiz.de/10011722771
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Dependence in credit default swap and equity markets : dynamic copula with Markov-switching
Fei, Fei; Fuertes, Ana María; Kalotychou, Elena - In: International journal of forecasting 33 (2017) 3, pp. 662-678
Persistent link: https://www.econbiz.de/10011746197
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Asymmetric downside and upside co-movements between stock and REIT markets
Chang, Kuang-Liang - In: Applied economics letters 25 (2018) 2, pp. 78-82
Persistent link: https://www.econbiz.de/10011853694