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Quantifying foreign exchange risk in the selected listed sectors of the Johannesburg Stock Exchange : an SV-EVT pairwise copula approach
Eita, Joel Hinaunye; Djemo, Charles Raoul Tchuinkam - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-29
This paper attempted to apply an EVT-based pairwise copula method for modelling risk interaction between foreign …), and we used the vine copula to model the co-movement between foreign exchange rates and equity indices and value at risk … findings show that the GJR-GARCH with Student's t-distribution, combined with a regular (R)-vine copula, outperforms the …
Persistent link: https://www.econbiz.de/10013252765
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Currency portfolio risk measurement with generalized autoregressive conditional heteroscedastic-extreme value theory-Copula Model
Omari, Cyprian Ondieki; Mwita, Peter N.; Gichuhi, Antony W. - In: Journal of mathematical finance 8 (2018) 2, pp. 457-477
Persistent link: https://www.econbiz.de/10011875347
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Asymmetric dependence in international currency markets
Paltalidis, Nikos; Patsika, Victoria - In: The European journal of finance 26 (2020) 10, pp. 994-1017
Persistent link: https://www.econbiz.de/10012207352
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Dynamic asymmetric effect of currency risk pricing of exchange rate on equity markets : a regime-switching based C-Vine copulas method
Mudiangombe, Benjamin; Muteba Mwamba, John - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-30
This paper investigates whether currency risk is priced differently in the different sectors (industrial, financial, and basic materials) of equity markets in a sample of developed United States of America (USA) and developing economies (Brazil, India, Poland, and South Africa). The paper makes...
Persistent link: https://www.econbiz.de/10013368440
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Extreme linkages between foreign exchange and general financial markets
Wu, Chih-Chiang; Chen, Wei Peng; Korsakul, Nattawadee - In: Pacific-Basin finance journal 65 (2021), pp. 1-22
Persistent link: https://www.econbiz.de/10013209544
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The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies
Tian, Maoxi; El Khoury, Rim; Alshater, Muneer Maher - In: Journal of international financial markets, … 82 (2023), pp. 1-28
Persistent link: https://www.econbiz.de/10014246021
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On the study of conditional dependence structure between oil, gold and USD exchange rates
Bedoui, Rihab; Braeik, Sana; Goutte, Stéphane; Guesmi, … - In: International review of financial analysis 59 (2018), pp. 134-146
Persistent link: https://www.econbiz.de/10012006932
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On the conditional dependence structure between oil, gold and USD exchange rates : Nested copula based GJR-GARCH model
Bedoui, Rihab; Braiek, Sana; Guesmi, Khaled; … - In: Energy economics 80 (2019), pp. 876-889
Persistent link: https://www.econbiz.de/10012173742
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Analyzing dependence structure of equity, bond and money markets by using time-varying copulas
Nguyen, Cuong; Nguyen, Tristan - In: International journal of economics and finance 6 (2014) 3, pp. 37-54
Persistent link: https://www.econbiz.de/10010339644
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Dependence structure between nominal and index-linked bond returns : a bivariate copula and DCC-GARCH approach
Benlagha, Noureddine - In: Applied economics 46 (2014) 31/33, pp. 3849-3860
Persistent link: https://www.econbiz.de/10010419885