Risk measurement has both theoretical and practical significance in risk management. Using daily sample of 10 international stock indices, firstly this paper models the internal structures among different stock markets with C-Vine, D-Vine and R-Vine copula models. Secondly, the Value-at-Risk...

In this paper, by taking the 5-min high frequency data of the Shanghai Composite Index as example, we compare the forecasting performance of HAR-RV and Multifractal volatility, Realized volatility, Realized Bipower Variation and their corresponding short memory model with rolling windows...

In this paper, the multifractality and efficiency degrees of ten important Chinese sectoral indices are evaluated using the methods of MF-DFA and generalized Hurst exponents. The study also scrutinizes the dynamics of the efficiency of Chinese sectoral stock market by the rolling window...

In this paper, we investigate the cross-correlations between the stock market in China and markets in Japan, South Korea and Hong Kong. We use not only the qualitative analysis of the cross-correlation test, but also the quantitative analysis of the MF-X-DFA. Our findings confirm the existence...

This study documents the return and volatility spillover effect between the stock prices of Chinese new energy and fossil fuel companies using the asymmetric BEKK model. Based on daily samples taken from August 30, 2006 to September 11, 2012, the dynamics of new energy/fossil fuel stock...

Several common properties shared by cryptocurrencies and precious metals, such as safe haven, hedge and diversification for risk assets, have been wildly discussed since the day Bitcoin was created in 2008. However, no studies have explored whether cryptocurrency market uncertainties can help to...