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Multivariate time-varying parameter modelling for stock markets

Neslihanoglu, Serdar; Bekiros, Stelios; McColl, John H.; … - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 947-972

Persistent link: https://www.econbiz.de/10012616913

A quantile regression approach and nonlinear analysis with Archimedean copulas to explain the movements of residential real estate prices

Almeshal, Khalid; Naifar, Nader - In: Afro-Asian Journal of Finance and Accounting : AAJFA 6 (2016) 4, pp. 374-395

Persistent link: https://www.econbiz.de/10011719674

Linear time-varying regression with copula-DCC-asymmetric-GARCH models for volatility : the co-movement between industrial electricity demand and financial factors

Kim, Yunsun; Hwang, Sun Young; Kim, Jong-Min; Kim, Sahm - In: Applied economics 55 (2023) 3, pp. 255-272

Persistent link: https://www.econbiz.de/10013494421

Modeling the dependence structures of financial assets through the Copula Quantile-on-Quantile approach

Sim, Nicholas - In: International review of financial analysis 48 (2016), pp. 31-45

Persistent link: https://www.econbiz.de/10011624367

Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349

Persistent link: https://www.econbiz.de/10011583871

Estimating dynamic copula dependence using intraday data

Grossmass, Lidan; Poon, Ser-Huang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 501-529

Persistent link: https://www.econbiz.de/10011339412

Comovement, liquidity and asymmetries

Xiong, James X. - In: Journal of investment management : JOIM 19 (2021) 1, pp. 90-108

Persistent link: https://www.econbiz.de/10012814373

Tan, Selin Duz - In: Borsa Istanbul Review 22 (2022) 4, pp. 812-827

This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market … significant comovement in returns and liquidity of stocks within the resultant clusters. This comovement is linked but not … fund holdings, industries, and companies’ locations. This evidence suggests this comovement is in excess of what rational …

Persistent link: https://www.econbiz.de/10013334839

Identifying asymmetric comovements of international stock market returns

Li, Fuchun - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 507-543

Persistent link: https://www.econbiz.de/10010391948

Long memory dynamics for multivariate dependence under heavy tails

Janus, Paweł; Koopman, Siem Jan; Lucas, André - In: Journal of empirical finance 29 (2014), pp. 187-206

Persistent link: https://www.econbiz.de/10011300485

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