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Forecasting and hedging in the foreign exchange markets
Ullrich, Christian - 2009
Persistent link: https://www.econbiz.de/10003826244
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Forecasting and Hedging in the Foreign Exchange Markets
Ullrich, Christian (contributor) - 2009
simulation. …
Persistent link: https://www.econbiz.de/10013521171
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European financial market dependence : an industry analysis
Bartram, Söhnke M.; Wang, Yaw-Huei - In: Journal of banking & finance 59 (2015), pp. 146-163
Persistent link: https://www.econbiz.de/10011544416
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Systemic risk in European sovereign debt markets : a CoVaR-copula approach
Reboredo, Juan Carlos; Ugolini, Andrea - In: Journal of international money and finance 51 (2015), pp. 214-244
Persistent link: https://www.econbiz.de/10011475258
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Asymmetric dynamic conditional copula correlation and fundamental determinants of interest rate comovement
Gupta, Priyanshi; Sehgal, Sanjay - In: Journal of economic integration : jei 34 (2019) 4, pp. 667-704
Persistent link: https://www.econbiz.de/10012137329
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Empirical analysis of market reactions to the UK's referendum results : how strong will Brexit be?
Aristeidis, Samitas; Elias, Kampouris - In: Journal of international financial markets, … 53 (2018), pp. 263-286
Persistent link: https://www.econbiz.de/10011983871
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Safe-haven and hedge currencies for the US, UK, and Euro area stock markets : a copula-based approach
Tachibana, Minoru - In: Global finance journal 35 (2018), pp. 82-96
Persistent link: https://www.econbiz.de/10012124795
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Estimating value-at-risk using a multivariate copula-based volatility model : evidence from European banks
Sampid, Marius Galabe; Hasim, Haslifah Mohamad - In: International economics : a journal published by CEPII … 156 (2018), pp. 175-192
Persistent link: https://www.econbiz.de/10012027269
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Conditional dependence of US and EU sovereign CDS : a time-varying copula-based estimation
Atil, Ahmed; Bradford, Marc; El Marzougui, Abdelaziz; … - In: Finance research letters 19 (2016), pp. 42-53
Persistent link: https://www.econbiz.de/10011657442
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Systemic risk in the European financial and energy sector : dynamic factor copula approach
Nevrla, Matej - 2017
In this paper, we perform analysis of systemic risk in the financial and energy sector in Europe. In our investigation, we work with daily time series of CDS spreads. We employ factor copula model with GAS dynamics of Oh and Patton (2016) for estimation purposes of dependency structures between...
Persistent link: https://www.econbiz.de/10011659313