Similar Search Results

Measuring comovements by regression quantiles

Cappiello, Lorenzo; Gérard, Bruno; Kadareja, Arjan; … - In: Journal of financial econometrics : official journal of … 12 (2014) 4, pp. 645-678

Persistent link: https://www.econbiz.de/10010512287

A wavelet decomposition approach to crude oil price and exchange rate dependence

Reboredo, Juan Carlos; Rivera-Castro, Miguel A. - In: Economic modelling 32 (2013), pp. 42-57

Persistent link: https://www.econbiz.de/10009760777

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

Persistent link: https://www.econbiz.de/10010240939

Time-varying dependence between stock and government bond returns : international evidence with dynamic copulas

Jammazi, Rania; Tiwari, Aviral Kumar; Ferrer, Román; … - In: The North American journal of economics and finance : a … 33 (2015), pp. 74-93

Persistent link: https://www.econbiz.de/10011534370

Dynamic copula models and high frequency data

De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - In: Journal of empirical finance 30 (2015), pp. 120-135

Persistent link: https://www.econbiz.de/10011489292

What affects the relationship between oil prices and the U.S. stock market? : a mixed-data sampling copula approach

Gong, Yuting; Bu, Ruijun; Chen, Qiang - In: Journal of financial econometrics 20 (2022) 2, pp. 253-277

Persistent link: https://www.econbiz.de/10013187978

Dependent relationships between Chinese commodity markets and the international financial market : evidence from quantile time-frequency analysis

Zhu, Huiming; Meng, Liang; Ge, Yajing; Hau, Liya - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-31

Persistent link: https://www.econbiz.de/10012664544

The Lithium industry and analysis of the beta term structure of oil companies

Monge, Manuel; Gil-Alaña, Luis A. - In: Risks : open access journal 8 (2020) 4/130, pp. 1-17

results indicate that there is a period of dependence between late 2013 and 2016 that occurs in the long-run frequencies of … market. In the second part of the paper, we study the dynamics of the beta series by using long-run dependence approaches …

Persistent link: https://www.econbiz.de/10012391557

Overreaction in the REITs market : new evidence from quantile autoregression approach

Ngene, Geoffrey M.; Manohar, Catherine Anitha; Julio, … - In: Journal of risk and financial management : JRFM 13 (2020) 11/282, pp. 1-28

, and inflation hedging to investors. This study employs a quantile autoregression model to investigate the dependence … aggregate effects of the sign and size of returns, business cycles, volatility, and REIT eras on the dependence structure of … daily, weekly, and monthly REIT returns. The study documents asymmetric and misaligned dependence patterns. A bad market …

Persistent link: https://www.econbiz.de/10012388741

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

Yu, Lean; Zha, Rui; Stafylas, Dimitrios; He, Kaijian; … - In: International review of financial analysis 68 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012301075