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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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Inter-markets volatility spillover in U.S. bitcoin and financial markets
Qarni, Muhammad Owais; Gulzar, Saqib; Fatima, Syeda Tamkeen - In: Journal of business economics and management 20 (2019) 4, pp. 694-714
This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 … varying dynamics of volatility spillover among U.S. Bitcoin and financial markets. The findings of the study indicate the … presence of low level of integration and contagion between U.S. Bitcoin and financial markets. Asymmetric nature of volatility …
Persistent link: https://www.econbiz.de/10012175787
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To what extent are stock returns driven by mean and volatility spillover effects? : evidence from eight European stock markets
Alikhanov, Abdulla - In: Národohospodářský obzor : časopis věnovaný … 13 (2013) 1, pp. 3-29
Persistent link: https://www.econbiz.de/10010193320
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Markets dependence in times of turmoil : evidence from US and Asia-Pacific stock markets
Zehri, Chokri - In: Montenegrin journal of economics 18 (2022) 2, pp. 175-189
Persistent link: https://www.econbiz.de/10013254592
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Risk spillovers from China's and the US stock markets during high-volatility periods : evidence from East Asianstock markets
Wang, Bo; Xiao, Yang - In: International review of financial analysis 86 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014249132
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Impacts of U.S. stock market crash on South African top sector indices, volatility, and market linkages : evidence of copula-based BEKK-GARCH models
Mudiangombe, Benjamin; Muteba Mwamba, John - In: International Journal of Financial Studies : open … 11 (2023) 2, pp. 1-19
services, financials, healthcare, industrials, technology, and telecommunication). The results of a copula-based BEKK …
Persistent link: https://www.econbiz.de/10014382640
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Conditional dependence structure between oil prices and exchange rates : a copula-GARCH approach
Aloui, Riadh; Safouane, Mohamed; Aïssa, Ben; Nguyen, … - In: Journal of international money and finance 32 (2013), pp. 719-738
Persistent link: https://www.econbiz.de/10009733478
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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
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Time-varying dependence structures of equity markets of China, ASEAN and the USA
Li, Baoxia; Zeng, Zhi - In: Applied economics letters 25 (2018) 2, pp. 87-91
Persistent link: https://www.econbiz.de/10011853697
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Dynamical volatility and correlation among US stock and treasury bond cash and futures markets in presence of financial crisis : a copula approach
Liu, Hsiang-Hsi; Wang, Teng-Kun; Li, Weny - In: Research in international business and finance 48 (2019), pp. 381-396
Persistent link: https://www.econbiz.de/10012135956