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The impact of global financial crisis on the dependence structure of equity markets and on risk management
Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International journal of managerial and financial accounting 5 (2013) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10009730450
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Diversification evidence from international equity markets using extreme values and stochastic copulas
Bhatti, Muhammad Ishaq; Nguyen, Cuong - In: Journal of international financial markets, … 22 (2012) 3, pp. 622-646
Persistent link: https://www.econbiz.de/10009623538
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Measuring and testing tail dependence and contagion risk between Major stock markets
Su, Ender - In: Computational economics 50 (2017) 2, pp. 325-351
Persistent link: https://www.econbiz.de/10011762384
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Is gold still a safe haven for stock markets? : new insights through the tail thickness of portfolio return distributions
Echaust, Krzysztof; Just, Małgorzata - In: Research in international business and finance 63 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10014248962
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Financial contagion in developed sovereign bond markets
Metiu, Norbert - 2011
Persistent link: https://www.econbiz.de/10008840674
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Dynamics among global asset portfolios
Bratis, Theodoros; Laopodis, Nikiforos; Kouretas, … - In: The European journal of finance 26 (2020) 18, pp. 1876-1899
Persistent link: https://www.econbiz.de/10012314662
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Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets
Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791
Persistent link: https://www.econbiz.de/10009708799
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International Stock Market Volatility : A Global Tail Risk Sight
Lu, Xinjie - 2023
This paper constructs a global tail risk (GTR) index and examines the role of GTR in predicting the volatility of international stock markets. Our empirical results emphasize that GTR contains valuable information to predict the stock volatility of group 7 (G7) countries. In addition, accounting...
Persistent link: https://www.econbiz.de/10014352721
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International stock market volatility : a global tail risk sight
Lu, Xinjie; Zeng, Qing; Zhong, Juandan; Zhu, Bo - In: Journal of international financial markets, … 91 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10014494749
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Extreme risk spillover in financial markets : evidence from the recent financial crisis
Hwang, Jungbin; Kim, Chae-yŏng - In: Seoul journal of economics 28 (2015) 2, pp. 171-198
Persistent link: https://www.econbiz.de/10011311654