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Effectiveness of copula-extreme value theory in estimating value-at-risk : empirical evidence from Asian emerging markets
Hsu, Chun-pin; Huang, Chin-wen; Chiou, Wan-jiun Paul - In: Review of quantitative finance and accounting 39 (2012) 4, pp. 447-468
Persistent link: https://www.econbiz.de/10009690403
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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
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Industry co-movements of American depository receipts : evidences from the copula approaches
Lee, Chien-chiang; Chang, Chi-Hung; Chen, Mei-Ping - In: Economic modelling 46 (2015), pp. 301-314
Persistent link: https://www.econbiz.de/10011436620
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Modelling tail dependence between energy market and stock markets in the BRIC countries
Pan, Zhiyuan - In: Applied economics letters 21 (2014) 10/12, pp. 789-794
Persistent link: https://www.econbiz.de/10010416269
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Interdependence of oil prices and stock market indices : a copula approach
Sukcharoen, Kunlapath; Zohrabyan, Tatevik; Leatham, David J. - In: Energy economics 44 (2014), pp. 331-339
Persistent link: https://www.econbiz.de/10010457169
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Tail dependence between Central and Eastern European and major European stock markets : a copula approach
Dajcman, Silvo - In: Applied economics letters 20 (2013) 16/18, pp. 1567-1573
Persistent link: https://www.econbiz.de/10010221720
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What determines the dependence between stock markets : crisis or financial and economic fundamentals?
Benlagha, Noureddine; El Omari, Salaheddine - In: Applied economics 54 (2022) 1, pp. 19-37
Persistent link: https://www.econbiz.de/10012873865
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An analysis of spillovers between Islamic and conventional stock bank returns : evidence from the GCC countries
Mseddi, Slim; Benlagha, Noureddine - In: Multinational finance journal 21 (2017) 2, pp. 91-132
Persistent link: https://www.econbiz.de/10012547485
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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
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Analysis of the depedence of stock risk based on copula theory
Li, Qi; Deng, Guangming; Tan, Xin - In: Inventi impact: emerging economies (2020) 2, pp. 99-106
Persistent link: https://www.econbiz.de/10012648489