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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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Conditional dependence between oil prices and exchange rates in BRICS countries : an application of the copula-GARCH model
He, Yijin; Hamori, Shigeyuki - In: Journal of risk and financial management : JRFM 12 (2019) 2/99, pp. 1-25
countries, using copula models. We used the Normal, Plackett, rotated-Gumbel, and Student's t copulas to measure the constant … dependence, and we captured the dynamic dependence using the Generalized Autoregressive Score with the Student's t copula. We … at Risk and Expected Shortfall from the time-varying copula models. We found that both reach low values when the oil …
Persistent link: https://www.econbiz.de/10012021992
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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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Oil price and exchange rate dependence in selected countries
Nandelenga, Martin Wafula; Simpasa, Anthony Musonda - 2020
Persistent link: https://www.econbiz.de/10012237689
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Reinvestigating international crude oil market risk spillovers
Jiang, Cuixia; Li, Yuqian; Xu, Qifa; Wu, Jun - In: Journal of risk 24 (2021) 1, pp. 25-52
Persistent link: https://www.econbiz.de/10012816795
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Foreign exchange predictability during the financial crisis : implications for carry trade profitability
Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - 2015
In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...
Persistent link: https://www.econbiz.de/10011313235
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Freight rate co-movement and risk spillovers in the product tanker shipping market : a copula analysis
Bai, Xiwen; Lam, Jasmine Siu Lee - In: Transportation research / E : an international journal 149 (2021), pp. 1-19
Persistent link: https://www.econbiz.de/10012520940
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Is gold a safe haven or a hedge for the US dollar? : implications for risk management
Reboredo, Juan Carlos - In: Journal of banking & finance 37 (2013) 8, pp. 2665-2676
Persistent link: https://www.econbiz.de/10009776518
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The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate
Chang, Kuang-Liang - In: Journal of international money and finance 133 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014304729
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FTX Collapse and systemic risk spillovers from FTX Token to major cryptocurrencies
Bouri, Elie; Kamal, Elham; Kinateder, Harald - In: Finance research letters 56 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014473652