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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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Linear time-varying regression with copula-DCC-asymmetric-GARCH models for volatility : the co-movement between industrial electricity demand and financial factors
Kim, Yunsun; Hwang, Sun Young; Kim, Jong-Min; Kim, Sahm - In: Applied economics 55 (2023) 3, pp. 255-272
Persistent link: https://www.econbiz.de/10013494421
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Dependence structure between nominal and index-linked bond returns : a bivariate copula and DCC-GARCH approach
Benlagha, Noureddine - In: Applied economics 46 (2014) 31/33, pp. 3849-3860
Persistent link: https://www.econbiz.de/10010419885
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Dynamical volatility and correlation among US stock and treasury bond cash and futures markets in presence of financial crisis : a copula approach
Liu, Hsiang-Hsi; Wang, Teng-Kun; Li, Weny - In: Research in international business and finance 48 (2019), pp. 381-396
Persistent link: https://www.econbiz.de/10012135956
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Risk correlation based on time-varying copula function and extreme value theory
Ji, Xinlong; Zhou, Lu - In: Theoretical economics letters 7 (2017) 7, pp. 2213-2229
Persistent link: https://www.econbiz.de/10011786009
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Jump-dependent model for optimal index futures hedging in five major Asian stock markets
Lai, Yi-Hao; Wang, Yi-Chiuan - In: Emerging markets finance & trade : a journal of the … 52 (2016) 4/6, pp. 786-796
Persistent link: https://www.econbiz.de/10011563109
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Diversification evidence from international equity markets using extreme values and stochastic copulas
Bhatti, Muhammad Ishaq; Nguyen, Cuong - In: Journal of international financial markets, … 22 (2012) 3, pp. 622-646
Persistent link: https://www.econbiz.de/10009623538
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Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps
Huang, Jhe-Jheng; So, Leh-Chyan - In: Journal of mathematical finance 8 (2018) 2, pp. 382-407
Persistent link: https://www.econbiz.de/10011874816
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Conditional dependence between international stock markets : a long memory GARCH-copula model approach
Mokni, Khaled; Mansouri, Fayçal - In: Journal of multinational financial management 42/43 (2017), pp. 116-131
Persistent link: https://www.econbiz.de/10011927907
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Multivariate models of commodity futures markets : a dynamic copula approach
Chen, Sihong; Li, Qi; Wang, Qiaoyu; Zhang, Yu Yvette - In: Empirical economics : a quarterly journal of the … 64 (2023) 6, pp. 3037-3057
Persistent link: https://www.econbiz.de/10014329023