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Grouping stock markets with time-varying Copula-GARCH model

Czapkiewicz, Anna; Majdosz, Paweł - In: Finance a úvěr 64 (2014) 2, pp. 144-159

Persistent link: https://www.econbiz.de/10010340205

Dynamic dependencies between the Tunisian stock market and other international stock markets : GARCH-EVT-Copula approach

Chebbi, A.; Hedhli, A. - In: Applied financial economics 24 (2014) 16/18, pp. 1215-1228

Persistent link: https://www.econbiz.de/10010418906

Tail dependence in emerging ASEAN-6 equity markets : empirical evidence from quantitative approaches

Duy Duong; Toan Luu Duc Huynh - In: Financial innovation : FIN 6 (2020) 4, pp. 1-26

-plots) as well as copulas (traditional and time-varying with Student’s t-copulas) to the existing literature in terms of … January 2001 to December 2017, we found that Student’s t-copulas under time-varying approach is the most appropriate approach …

Persistent link: https://www.econbiz.de/10012268531

The dynamic dependence between stock markets in the greater China economic area : a study based on extreme values and copulas

Hussain, Saiful Izzuan; Li, Steven - In: Financial markets and portfolio management 32 (2018) 2, pp. 207-233

Persistent link: https://www.econbiz.de/10011951950

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

Leverage and volatility feedback effects and conditional dependence index : a nonparametric study

Sun, Yiguo; Wu, Ximing - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-20

This paper studies the contemporaneous relationship between S&P 500 index returns and log-increments of the market volatility index (VIX) via a nonparametric copula method. Specifically, we propose a conditional dependence index to investigate how the dependence between the two series varies...

Persistent link: https://www.econbiz.de/10011857010

Modeling US stock market volatility-return dependence using conditional copula and quantile regression

Agbeyegbe, Terence D. - In: The economics of the global environment : catastrophic …, (pp. 597-621). 2016

Persistent link: https://www.econbiz.de/10011730810

A time-varying copula approach to investigate the dependence structures of BRICS stock markets before and after Covid-19

Karadag, Tugay; Golbasi Simsek, Gulhayat - In: Emerging markets, finance & trade : a journal of the … 59 (2023) 5, pp. 1475-1486

Persistent link: https://www.econbiz.de/10014289696

Dynamic stock dependence and monetary variables in the United States (2000-2016) : a copula and neural network approach

Sosa, Miriam; Bucio, Christian; Ortiz Calisto, Edgar - In: Lecturas de economía 96 (2022), pp. 201-234

Persistent link: https://www.econbiz.de/10013387217

Predicting movement of stock of "Y" using Sutte Indicator

Ahmar, Ansari Saleh; Rahman, Abdul; Arifin, Andi Nurani … - In: Cogent economics & finance 5 (2017) 1, pp. 1-7

The aim of this study is to apply technical analysis Sutte Indicator at stock market that will assist in the decision-making process in investment to buy or sell stocks. This study took data from Stock of “Y” which listed in the NasdaqGS from the period 18 May 2012 to 30 August 2016. The...

Persistent link: https://www.econbiz.de/10011882533