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Stock-bond return correlations : moving away from "one-frequency-fits-all" by extending the DCC-MIDAS approach

Allard, Anne-Florence; Iania, Leonardo; Smedts, Kristien - In: International review of financial analysis 71 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012437127

Forecasting volatility with Copula-based time series models

Sokolinskiy, Oleg; Dijk, Dick van - 2011

Persistent link: https://www.econbiz.de/10009720755

How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas

Mzoughi, Hela; Mansouri, Fayçal - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 1-14

Persistent link: https://www.econbiz.de/10010338365

Idiosyncratic risks, bailout, and financial crisis : a copula approach

Wang, Daphne; Nguyen Khoa Huu - In: Global business and finance review 20 (2015) 1, pp. 53-70

Persistent link: https://www.econbiz.de/10011434259

Frontiers in time series and financial econometrics: An overview

Ling, Shiqing; McAleer, Michael; Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 245-250

Persistent link: https://www.econbiz.de/10011503737

Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management

Aloui, Riadh; Ben Aïssa, Mohamed Safouane; Hammoudeh, … - In: Energy economics 42 (2014), pp. 332-342

Persistent link: https://www.econbiz.de/10010503584

Uncertainty and crude oil returns

Aloui, Riadh; Gupta, Rangan; Miller, Stephen M. - 2015

Persistent link: https://www.econbiz.de/10010504607

Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management

Aloui, Riadh; Ben Aïssa, Mohamed Safouane; Hammoudeh, … - 2014

Persistent link: https://www.econbiz.de/10010432170

Frontiers in time series and financial econometrics : an overview

Ling, Shiqing; McAleer, Michael; Tong, Howell - 2015

Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of...

Persistent link: https://www.econbiz.de/10010484894

Exchange rates and the global transmission of equity market shocks

Ojea-Ferreiro, Javier; Reboredo, Juan Carlos - 2021

equity markets. Using copula functions we model the joint dependence between exchange rates and two global equity markets and …

Persistent link: https://www.econbiz.de/10012549999