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Dependence structure between oil prices, exchange rates, and interest rates

Kim, Jong-Min; Jung, Hojin - In: The energy journal 39 (2018) 2, pp. 259-280

Persistent link: https://www.econbiz.de/10011825635

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

Extreme co-movements and dependencies among major international exchange rates : a copula approach

Albulescu, Claudiu Tiberiu; Aubin, Christian; Goyeau, Daniel - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 56-69

Persistent link: https://www.econbiz.de/10012034997

Volatility spillover effect : a semiparametric analysis of non-cointegrated process

Sun, Yiguo; Hsiao, Cheng; Li, Qi - In: Econometric reviews 34 (2015) 1/5, pp. 127-145

Persistent link: https://www.econbiz.de/10011373301

An investigation on mixed housing-cycle structures and asymmetric tail dependences

Chang, Kuang-Liang - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-10

Persistent link: https://www.econbiz.de/10012658920

Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula

Patton, Andrew J. - 2001

decomposed into its n marginal distributions, and a copula, which completely describes the dependence between the n variables. We … evidence of a structural break in the conditional copula following the introduction of the euro …

Persistent link: https://www.econbiz.de/10014128296

Conditional dependence between international stock markets : a long memory GARCH-copula model approach

Mokni, Khaled; Mansouri, Fayçal - In: Journal of multinational financial management 42/43 (2017), pp. 116-131

Persistent link: https://www.econbiz.de/10011927907

A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010

representation as a time-varying heavy-tailed copula which is particularly useful if the interest focuses on dependence structures …

Persistent link: https://www.econbiz.de/10011380135

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

Measuring rank correlation coefficients between financial time series : a GARCH-copula based sequence alignment algorithm

Laih, Yih-wenn - In: European journal of operational research : EJOR 232 (2014) 2, pp. 375-382

Persistent link: https://www.econbiz.de/10010224694

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