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Multivariate regimeswitching GARCH with an application to international stock markets
Haas, Markus (contributor); Mittnik, Stefan (contributor) - 2008
Persistent link: https://www.econbiz.de/10003651587
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Interconnected risk contributions : a heavy-tail approach to analyze U.S. financial sectors
Bernardi, Mauro; Petrella, Lea - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 198-226
This paper investigates the dynamic evolution of tail risk interdependence among U.S. banks, financial services and insurance sectors. Life and non-life insurers have been considered separately to account for their different characteristics. The tail risk interdependence measurement framework...
Persistent link: https://www.econbiz.de/10011545172
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Volatility dynamics under duration-dependent mixing
Maheu, John M.; McCurdy, Thomas H. - In: Journal of empirical finance 7 (2000) 3/4, pp. 345-372
Persistent link: https://www.econbiz.de/10001558275
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Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching : evidence from over a century of data
Ji, Qiang; Liu, Bing-Yue; Cuñado Eizaguirre, Juncal; … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012658792
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Ex-post evaluation of the American Airlines-US Airways merger : a structural approach
Bontemps, Christian; Remmy, Kevin; Wei, Jiangyu - 2021
Persistent link: https://www.econbiz.de/10012669160
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A Markov switching factor-augmented VAR model for analyzing US business cycles and monetary policy
Huber, Florian; Fischer, Manfred M. - 2015
Persistent link: https://www.econbiz.de/10011347879
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What are the causes of high crude oil price? : causality investigation
Obadi, Saleh Mothana; Othmanová, Soňa; Abdová, Mariam - In: International Journal of Energy Economics and Policy : IJEEP 3 (2013) 5, pp. 80-92
Persistent link: https://www.econbiz.de/10010233794
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A structural model for the coevolution of networks and behavior
Hsieh, Chih-Sheng; König, Michael D.; Liu, Xiaodong - In: The review of economics and statistics 104 (2022) 2, pp. 355-367
Persistent link: https://www.econbiz.de/10013184853
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Ex-post evaluation of the American airlines-US airways merger : a structural approach
Bontemps, Christian; Remmy, Kevin; Wei, Jiangyu - In: Journal of transport economics & policy : JTEP 56 (2022) 2, pp. 129-155
Persistent link: https://www.econbiz.de/10013173738
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Oil prices and the value of US dollar : theoretical investigation and empirical evidence
Obadi, Saleh Mothana; Othmanová, Soňa - In: Ekonomický časopis : časopis pre ekonomickú … 60 (2012) 8, pp. 771-790
Persistent link: https://www.econbiz.de/10010189992