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Extremal dependence-based specification testing of time series

Hoga, Yannick - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1274-1287

Persistent link: https://www.econbiz.de/10014448632

Non-parametric estimation of copula parameters : testing for time-varying correlation

Gong, Jinguo; Wu, Weiou; McMillan, David G.; Shi, Daimin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 93-106

Persistent link: https://www.econbiz.de/10011311193

A copula-GARCH model of conditional dependencies : estimating Tehran Market Stock Exchange value-at-risk

Shams, Sedigheh; Haghighi, Fatemeh K. - In: Journal of statistical and econometric methods 2 (2013) 2, pp. 39-50

Modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics. It is not easy to specify the multivariate distribution relating two or more return series. In this paper, a methodology based on fitting ARIMA, GARCH and ARMA-GARCH models and...

Persistent link: https://www.econbiz.de/10009769897

Dependence between Croatian and European stock markets : a copula GARCH approach

Dajčman, Silvo - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 31 (2013) 2, pp. 209-232

Persistent link: https://www.econbiz.de/10010240939

Time-varying dependence between stock and government bond returns : international evidence with dynamic copulas

Jammazi, Rania; Tiwari, Aviral Kumar; Ferrer, Román; … - In: The North American journal of economics and finance : a … 33 (2015), pp. 74-93

Persistent link: https://www.econbiz.de/10011534370

Dynamic copula models and high frequency data

De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - In: Journal of empirical finance 30 (2015), pp. 120-135

Persistent link: https://www.econbiz.de/10011489292

Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns

Zhu, Huiming; Li, Rong; Li, Sufang - In: International review of economics & finance : IREF 29 (2014), pp. 208-223

Persistent link: https://www.econbiz.de/10010431437

Time series and copula dependency analysis for eurozone sovereign bond returns

Tsuchida, Naoshi; Giacometti, Rosella; Fabozzi, Frank J.; … - In: The journal of fixed income 24 (2014) 1, pp. 75-87

Persistent link: https://www.econbiz.de/10011293042

Copula modelling to analyse financial data

Dewick, Paul R.; Liu, Shuangzhe - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-11

Copula modelling is a popular tool in analysing the dependencies between variables. Copula modelling allows the investigation of tail dependencies, which is of particular interest in risk and survival applications. Copula modelling is also of specific interest to economic and financial modelling...

Persistent link: https://www.econbiz.de/10013161689

Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching : evidence from over a century of data

Ji, Qiang; Liu, Bing-Yue; Cuñado Eizaguirre, Juncal; … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012658792