Similar Search Results

Are benefits from oil-stocks diversification gone? : new evidence from a dynamic copula and high frequency data

Avdulaj, Krenar; Barunik, Jozef - In: Energy economics 51 (2015), pp. 31-44

Persistent link: https://www.econbiz.de/10011564203

Dynamic copula-based Markov chains at work : theory, testing and performance in modeling daily stock returns

Tinkl, Fabian; Reichert, Katja - 2011

We generalize the score test for time-varying copula parameters proposed by [Abegaz & Naik-Nimbalkar, 2008] to a setting where more than one-parametric copulas can be tested for time variation in at least one parameter. In a next step we model the daily log returns of the Commerzbank stock using...

Persistent link: https://www.econbiz.de/10009234734

A Revisit to the Dependence Structure between Stock and Foreign Exchange Markets : A Dependence-Switching Copula Approach

Wang, Yi-Chiuan - 2012

This paper develops a dependence-switching copula model to examine dependence and tail dependence for four different … major industrial countries over the period 1990-2010. It is found that the dependence and tail dependence among the above …

Persistent link: https://www.econbiz.de/10013107722

Dependence between Croatian and European Stock Markets – A Copula GARCH Approach

Dajčman, Silvo - 2013

The objective of this paper is to analyze dependence structure between the returns of Croatian and five European stock … modeled as univariate GARCH processes and the dependence structure between the return series is defined by a copula function … European stock markets can increase to 0.77 during turbulent times. The lower and upper tail dependence dynamics between …

Persistent link: https://www.econbiz.de/10013071482

Long-term vs. short-term comovements in stock markets : the use of Markov-switching multifractal models

Idier, Julien - In: The European journal of finance 17 (2011) 1/2, pp. 27-48

Persistent link: https://www.econbiz.de/10009155466

Forecasting Value-at-Risk and Expected Shortfall Using Fractionally Integrated Models of Conditional Volatility : International Evidence

Degiannakis, Stavros Antonios - 2018

The present study compares the performance of the long memory FIGARCH model, with that of the short memory GARCH specification, in the forecasting of multi-period Value-at-Risk (VaR) and Expected Shortfall (ES) across 20 stock indices worldwide. The dataset is comprised of daily data covering...

Persistent link: https://www.econbiz.de/10012910119

Volatility spillover effects during pre-and-post COVID-19 outbreak on Indian market from the USA, China, Japan, Germany, and Australia

Thangamuthu, Mohanasundaram; Maheshwari, Suneel; Naik, … - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-15

We examined volatility spillover effects from five prominent global stock markets to India's stock market during the pre-and-post COVID-19 outbreak using daily adjusted closing prices between January 2019 and September 2021 from six capital markets. The structural breakpoint was identified as 23...

Persistent link: https://www.econbiz.de/10013397677