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A comparison study of copula models for European financial index returns
Tofoli, Paula V.; Ziegelmann, Flávio A.; Candido, Osvaldo - In: International journal of economics and finance 9 (2017) 10, pp. 155-178
Persistent link: https://www.econbiz.de/10011764112
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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
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Volatility and asymmetric dependence in Central and East European stock markets
Joseph, Nathan Lael; Vo, Thi Thuy Anh; Mobarek, Asma; … - In: Review of quantitative finance and accounting 55 (2020) 4, pp. 1241-1303
Persistent link: https://www.econbiz.de/10012304151
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Asymmetric volatility spillover between European equity and foreign exchange markets : evidence from the frequency domain
Warshaw, Evan - In: International review of economics & finance : IREF 68 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012486281
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The application of multivariate GARCH models to turbulent financial markets
Zahnd, Edy - 2002 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001659873
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Time series and copula dependency analysis for eurozone sovereign bond returns
Tsuchida, Naoshi; Giacometti, Rosella; Fabozzi, Frank J.; … - In: The journal of fixed income 24 (2014) 1, pp. 75-87
Persistent link: https://www.econbiz.de/10011293042
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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
Persistent link: https://www.econbiz.de/10012303143
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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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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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The stable tail dependence and influence among the European stock markets : a score-driven dynamic copula approach
Barnett, William A.; Wang, Xue; Xu, Hai-Chuan; Zhou, … - In: The European journal of finance 29 (2023) 16, pp. 1933-1956
Persistent link: https://www.econbiz.de/10014388527