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Quantile dependence between the stock, bond and foreign exchange markets : evidence from the UK

Raza, Hamid; Wu, Weiou - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 286-296

Persistent link: https://www.econbiz.de/10012035018

Are Islamic bonds a good safe haven for stocks? : implications for portfolio management in a time-varying regime-switching copula framework

Shahzad, Syed Jawad Hussain; Aloui, Chaker; Jammazi, Rania - In: Applied economics 51 (2019) 3, pp. 219-238

Persistent link: https://www.econbiz.de/10012160482

Semiparametric approaches to the prediction of conditional correlation matrices in finance

Golosnoy, Vasyl (contributor); Herwartz, Helmut (contributor) - 2006

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data … correlation matrices and exogenous factors. The Fisher-z transformation guarantees robustness of correlation estimators under … prominent parametric and nonparametric alternatives to correlation modeling. Based on economic performance criteria, we …

Persistent link: https://www.econbiz.de/10003516408

Dynamic cross-correlation and dynamic contagion of stock markets : a sliding windows approach with the DCCA correlation coefficient

Tilfani, Oussama; Ferreira, Paulo; El Boukfaoui, My Youssef - In: Empirical economics : a quarterly journal of the … 60 (2021) 3, pp. 1127-1156

Persistent link: https://www.econbiz.de/10012490509

The impact of asynchronous trading on Epps effect : comparative study on Warsaw Stock Exchange and Vienna Stock Exchange

Gurgul, Henryk; Machno, Artur - In: Managerial economics 17 (2016) 1, pp. 59-75

turns out to be the main cause of the Epps effect. However, the corrected correlation estimator seems to be more volatile … than the regular estimator of the correlation. In the case of the VSE, evidence of the Epps effect is not unique. For the …

Persistent link: https://www.econbiz.de/10011736401

Modeling time-varying correlations in volatility between BRICS and commodity markets

Kang, Sang Hoon; McIver, Ron; Yoon, Seong-min - In: Emerging markets finance & trade : a journal of the … 52 (2016) 7/9, pp. 1698-1723

Persistent link: https://www.econbiz.de/10011594437

Can asymmetric conditional volatility imply asymmetric tail dependence?

Kim, Jong-Min; Jung, Hojin - In: Economic modelling 64 (2017), pp. 409-418

Persistent link: https://www.econbiz.de/10011761287

Intraday VaR : a copula-based approach

Wang, Keli; Liu, Xiaoquan; Ye, Wuyi - In: Journal of empirical finance 74 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014477064

Dependence and contagion between Vietnamese and major East Asian stock markets

Nguyen Van Chien; Nguyen Thu Thuy - In: International journal of management practice : IJMP 15 (2022) 4, pp. 445-459

Persistent link: https://www.econbiz.de/10013415125

Realized Wishart-GARCH : a score-driven multi-Asset volatility model

Hansen, Peter Reinhard; Janus, Paweł; Koopman, Siem Jan - 2016

the variance matrix. Monte Carlo evidence for parameter estimation based on different small sample sizes is provided. We …

Persistent link: https://www.econbiz.de/10011520881