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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

Dependence structure between the equity market and the foreign exchange market : a copula approach

Ning, Cathy Q. - In: Journal of international money and finance 29 (2010) 5, pp. 743-759

Persistent link: https://www.econbiz.de/10003989912

Co-movements between US and UK stock prices : the role of time-varying conditional correlations

Aslanidis, Nektarios; Osborn, Denise R.; Sensier, Marianne - In: International journal of finance & economics : IJFE 15 (2010) 4, pp. 366-380

Persistent link: https://www.econbiz.de/10008811289

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

Wang, Yi-Chiuan - 2012

four market statuses are asymmetric, for most countries, in the negative correlation regime, but symmetric in the positive … correlation regime. These results enrich findings in existing literature and suggest that analyzing cross-market linkages within a …

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

Dependence Structure between the Equity Market and the Foreign Exchange Market – A Copula Approach

Ning, Cathy - 2015

This paper investigates the dependence structure between the equity market and the foreign exchange market by using copulas. In particular, several copulas with different dependence structure are compared and used to directly model the underlying dependence structure. We find that there exists...

Persistent link: https://www.econbiz.de/10013029560