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Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach

Kumar, Satish; Tiwari, Aviral Kumar; Chauhan, Yogesh; … - In: International review of financial analysis 63 (2019), pp. 273-284

Persistent link: https://www.econbiz.de/10012207463

Market-risk optimization among the developed and emerging markets with cvar measure and copula simulation

Trabelsi, Nader; Tiwari, Aviral Kumar - In: Risks : open access journal 7 (2019) 3/78, pp. 1-20

In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value-at-risk (CVaR) portfolio problem. Particularly, this approach used (i) copula to model the complete linear and non-linear correlation dependence structure, (ii) Pareto tails to...

Persistent link: https://www.econbiz.de/10012127555

Extreme co-movements and dependencies among major international exchange rates : a copula approach

Albulescu, Claudiu Tiberiu; Aubin, Christian; Goyeau, Daniel - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 56-69

Persistent link: https://www.econbiz.de/10012034997

Continuous wavelet transform and rolling correlation of European stock markets

Tiwari, Aviral Kumar; Mutascu, Mihai; Albulescu, … - In: International review of economics & finance : IREF 42 (2016), pp. 237-256

Persistent link: https://www.econbiz.de/10011625112

The importance of oil assets for portfolio optimization : the analysis of firm level stocks

Sarwar, Suleman; Shahbaz, Muhammad; Anwar, Awais; … - In: Energy economics 78 (2019), pp. 217-234

Persistent link: https://www.econbiz.de/10012159934

Are exchange rates interdependent? : evidence using wavelet analysis

Kumar, Satish; Pathak, Rajesh; Tiwari, Aviral Kumar; … - In: Applied economics 49 (2017) 31/33, pp. 3231-3245

Persistent link: https://www.econbiz.de/10011774731

Co-movements and contagion between international stock index futures markets

Albulescu, Claudiu Tiberiu; Goyeau, Daniel; Tiwari, … - In: Empirical economics : a journal of the Institute for … 52 (2017) 4, pp. 1529-1568

Persistent link: https://www.econbiz.de/10011945853

Impact of oil price risk on sectoral equity markets : implications on portfolio management

Tiwari, Aviral Kumar; Jena, Sangram Keshari; Mitra, Amarnath - In: Energy economics 72 (2018), pp. 120-134

Persistent link: https://www.econbiz.de/10011972290

Stock market integration in Asian countries : evidence from wavelet multiple correlations

Tiwari, Aviral Kumar; Dar, Arif Billah; Bhanja, Niyati; … - In: Journal of economic integration 28 (2013) 3, pp. 441-456

Persistent link: https://www.econbiz.de/10010126698

U.S. leveraged loan and debt markets : implications for optimal portfolio and hedging

Abakah, Emmanuel Joel Aikins; Nasreen, Samia; Tiwari, … - In: International review of financial analysis 87 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014457479