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Extreme dependence and risk spillovers across north american equity markets

Warshaw, Evan - In: The North American journal of economics and finance : a … 47 (2019), pp. 237-251

Persistent link: https://www.econbiz.de/10012117855

Dependence structure of volatility and illiquidity on Vienna and Warsaw stock exchanges

Gurgul, Henryk; Syrek, Robert - In: Finance a úvěr 69 (2019) 3, pp. 198-221

Persistent link: https://www.econbiz.de/10012137438

Relationship between stock and currency markets conditional on the US stock returns : a vine copula approach

Tachibana, Minoru - In: Journal of multinational financial management 46 (2018), pp. 75-106

Persistent link: https://www.econbiz.de/10012055790

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

Wang, Yi-Chiuan - 2012

This paper develops a dependence-switching copula model to examine dependence and tail dependence for four different market statuses, namely, rising-stocks/appreciating-currency, falling-stocks/depreciating-currency, rising-stocks/depreciating-currency, and falling-stocks/appreciating-currency....

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

Are agribusiness stocks an investor safe haven?

D'Antoni, Jeremy M.; Detre, Joshua Dean - In: Agricultural finance review 74 (2014) 4, pp. 522-538

Persistent link: https://www.econbiz.de/10011305888

Portfolio management using time-varying vine copula : an application on the G7 equity market indices

Nguyen, Phong Minh; Liu, Wei-Han - In: The European journal of finance 29 (2023) 11, pp. 1303-1329

Persistent link: https://www.econbiz.de/10014323006

An analysis of dependence between Central and Eastern European stock markets

Reboredo, Juan Carlos; Tiwari, Aviral Kumar; Albulescu, … - In: Economic systems 39 (2015) 3, pp. 474-490

Persistent link: https://www.econbiz.de/10011532315

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

How are Africa's emerging stock markets related to advanced markets? : evidence from copulas

Mensah, Jones Odei; Alagidede, Paul - In: Economic modelling 60 (2017), pp. 1-10

Persistent link: https://www.econbiz.de/10011734155

Jump tail dependence in the Chinese stock market

Li, Sophia Zhengzi; Wang, Hao; Zhao, Hua - In: Emerging markets finance & trade : a journal of the … 52 (2016) 10/12, pp. 2379-2396

Persistent link: https://www.econbiz.de/10011672561

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