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Return and volatility spillovers across equity markets in mainland China, Hong Kong and the United States

Mohammadi, Hassan; Tan, Yuting - In: Econometrics : open access journal 3 (2015) 2, pp. 215-232

correlations from the DCC model suggest an increase in correlation between China and other stock markets since the most recent …Examinations of the dynamics of daily returns and volatility in stock markets of the US, Hong Kong and mainland China … the US to the other three markets; but no spillover between Hong Kong and either of the two mainland China markets; (2 …

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Oil and stock returns : evidence from European industrial sector indices in a time-varying environment

Degiannakisa, Stavros; Filis, George; Floros, Christos - In: Journal of international financial markets, … 26 (2013), pp. 175-191

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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

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Brexit and the dependence structure among the G7 bank equity markets

Nekhili, Ramzi; Giannopoulos, Kostas - In: Investment management and financial innovations 17 (2020) 2, pp. 231-239

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Examining the dependence structure between carry trade and equity market returns in BRICS economies

Makhanya, Kabelo Collen; Bonga-Bonga, Lumengo; … - In: International economic journal 38 (2024) 2, pp. 365-384

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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

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Modelling long memory dependence structure using FIGARCH-copula approach : evidence from major Asian stock markets

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Co-movement and interaction effects across the monetary, foreign exchange and stock markets : evidence from China

Zhao, Xuejin; Zhang, Han - In: Inventi impact: emerging economies (2018) 1, pp. 45-53

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Co-movement of ASEAN stock markets : new evidence from wavelet and VMD-based copula tests

Jiang, Yonghong; Nie, He; Monginsidi, Joe Yohanes - In: Economic modelling 64 (2017), pp. 384-398

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Dependences and volatility spillovers between the oil and stock markets: new evidence from the copula and VAR-BEKK-GARCH models

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