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1
Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed
World
Stock Index
Ignatieva, Katja
-
2012
of a well diversified
world
stock index. The paper uses the equi-weighted index EWI104s, calculated as the average of 104 …
world
industry sector indices. The log-returns of its denominations in different currencies appear to be Student … copulae to the
estimation
of the Value-at-Risk and the expected shortfall of a portfolio, constructed of savings accounts of …
Persistent link: https://www.econbiz.de/10013098519
Saved in:
2
Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence
Mo, Guoli
;
Zhang, Weiguo
;
Tan, Chunzhi
;
Liu, Xing
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-23
Persistent link: https://www.econbiz.de/10013413442
Saved in:
3
Modelling co-movements and tail dependency in the international stock market via copulae
Ignatieva, Katja
;
Platen, Eckhard
-
2009
Persistent link: https://www.econbiz.de/10008662352
Saved in:
4
Time varying hierarchical archimedean copulae
Härdle, Wolfgang
;
Okhrin, Ostap
;
Okhrin, Yarema
-
2010
-Gaussian dependency structures with a small number of parameters. In this paper we develop a novel adaptive
estimation
technique of the … ; Archimedean copula ; adaptive
estimation
…
Persistent link: https://www.econbiz.de/10003953027
Saved in:
5
Prediction, risk assessment and comparison of selected emerging markets' stock indices during covid-19 pandemic using the coherent measure : comparing selected emerging markets' st...
Das, Prabir Kumar
;
Das, Anarghya
- In:
The journal of prediction markets
16
(
2022
)
3
,
pp. 81-97
Persistent link: https://www.econbiz.de/10014290506
Saved in:
6
Construction and backtesting of a multi-factor stress-scenario for the stock market
Boldyrev, Kirill
;
Andrianov, Dmitry
;
Ivliev, Sergey
- In:
Financial econometrics and empirical market microstructure
,
(pp. 37-45)
.
2015
Persistent link: https://www.econbiz.de/10011326724
Saved in:
7
Tail dependence analysis of stock markets using extreme value theory
Singh, Abhay Kumar
;
Allen, David E.
;
Powell, Robert
- In:
Applied economics
49
(
2017
)
45
,
pp. 4588-4599
Persistent link: https://www.econbiz.de/10011844236
Saved in:
8
Extreme dependence and risk spillovers across north american equity markets
Warshaw, Evan
- In:
The North American journal of economics and finance : a …
47
(
2019
),
pp. 237-251
Persistent link: https://www.econbiz.de/10012117855
Saved in:
9
Risk dependence and cointegration between pharmaceutical stock markets : the case of China and the USA
Zhou, Xinmiao
;
Qian, Huanhuan
;
Pérez Rodríguez, Jorge V.
- In:
The North American journal of economics and finance : a …
52
(
2020
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012654918
Saved in:
10
A comparison study of copula models for European financial index returns
Tofoli, Paula V.
;
Ziegelmann, Flávio A.
;
Candido, Osvaldo
- In:
International journal of economics and finance
9
(
2017
)
10
,
pp. 155-178
Persistent link: https://www.econbiz.de/10011764112
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