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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

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

Exponential series estimation of empirical copulas with application to financial returns

Chui, Chinman; Wu, Ximing - In: Nonparametric econometric methods, (pp. 263-290). 2010

Persistent link: https://www.econbiz.de/10010216413

Multivariate models of commodity futures markets : a dynamic copula approach

Chen, Sihong; Li, Qi; Wang, Qiaoyu; Zhang, Yu Yvette - In: Empirical economics : a quarterly journal of the … 64 (2023) 6, pp. 3037-3057

Persistent link: https://www.econbiz.de/10014329023

A new model for forecasting VaR and ES using intraday returns aggregation

Song, Shijia; Li, Handong - In: Journal of forecasting 42 (2023) 5, pp. 1039-1054

Persistent link: https://www.econbiz.de/10014338800

The stable tail dependence and influence among the European stock markets : a score-driven dynamic copula approach

Barnett, William A.; Wang, Xue; Xu, Hai-Chuan; Zhou, … - In: The European journal of finance 29 (2023) 16, pp. 1933-1956

Persistent link: https://www.econbiz.de/10014388527

Modelling long memory dependence structure using FIGARCH-copula approach : evidence from major Asian stock markets

Gupta, Pankaj Kumar; Mittal, Prabhat - In: Global business & economics review 30 (2024) 1, pp. 56-71

Persistent link: https://www.econbiz.de/10014490993

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