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Dependence between Croatian and European stock markets : a copula GARCH approach
Dajčman, Silvo - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 31 (2013) 2, pp. 209-232
Persistent link: https://www.econbiz.de/10010240939
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Dependences and volatility spillovers between the oil and stock markets: new evidence from the copula and VAR-BEKK-GARCH models
Yu, Lean; Zha, Rui; Stafylas, Dimitrios; He, Kaijian; … - In: International review of financial analysis 68 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012301075
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Oil price shocks against stock return of oil- and gas-related firms in the economic depression : a new evidence from a copula approach
Thu Thuy Nguyen; Nguyen Van Chien; Tran Trong Nguyen - In: Cogent economics & finance 8 (2020) 1, pp. 1-20
This research examines the influence of world crude oil price shocks on the financial performance of Vietnamese oil … receive more stock returns. The results further demonstrate that world oil price fluctuations have significantly impacted on … depression of 2011-2012, the study reveals no evidence in the relationship between world oil price fluctuations and stock returns …
Persistent link: https://www.econbiz.de/10013179488
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Analysis of nonlinear comovement of benchmark Thai government bond yields
Rewat Khanthaporn - 2022
Persistent link: https://www.econbiz.de/10013429426
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Estimating dynamic copula dependence using intraday data
Grossmass, Lidan; Poon, Ser-Huang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 501-529
Persistent link: https://www.econbiz.de/10011339412
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Impact of nonstationarity on estimating and modeling empirical copulas of daily stock returns
Wollschläger, Marcel; Schäfer, Rudi - In: Journal of risk 19 (2016) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10011579750
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Oil prices and stock markets : does the effect of uncertainty change over time?
Joo, Young C.; Park, Sung Y. - In: Energy economics 61 (2017), pp. 42-51
Persistent link: https://www.econbiz.de/10011737651
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Re-examination of risk-return dynamics in international equity markets and the role of policy uncertainty, geopolitical risk and VIX : evidence using Markov-switching copulas
Abakah, Emmanuel Joel Aikins; Tiwari, Aviral Kumar; … - In: Finance research letters 47 (2022) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10013455804
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What affects the relationship between oil prices and the U.S. stock market? : a mixed-data sampling copula approach
Gong, Yuting; Bu, Ruijun; Chen, Qiang - In: Journal of financial econometrics 20 (2022) 2, pp. 253-277
Persistent link: https://www.econbiz.de/10013187978
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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