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A quantile regression approach and nonlinear analysis with Archimedean copulas to explain the movements of residential real estate prices

Almeshal, Khalid; Naifar, Nader - In: Afro-Asian Journal of Finance and Accounting : AAJFA 6 (2016) 4, pp. 374-395

Persistent link: https://www.econbiz.de/10011719674

Comovement across BRICS and the US stock markets : a multitime scale wavelet analysis

Batondo, Musumba; Uwilingiye, Josine - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-21

. The current study examines the co-movement of stock markets in BRICS (Brazil, Russia, India, China and South Africa … these data to determine the multihorizon nature of comovement (pure contagion or interdependence) and the dynamics of market … short- and long-term integration strengthened and deepened comovement among equity markets. From the portfolio …

Persistent link: https://www.econbiz.de/10013252768

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

Linear time-varying regression with copula-DCC-asymmetric-GARCH models for volatility : the co-movement between industrial electricity demand and financial factors

Kim, Yunsun; Hwang, Sun Young; Kim, Jong-Min; Kim, Sahm - In: Applied economics 55 (2023) 3, pp. 255-272

Persistent link: https://www.econbiz.de/10013494421

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

Bidirectional relationship between investor sentiment and excess returns : new evidence from the wavelet perspective

Marczak, Martyna; Beissinger, Thomas - 2015

additionally capable of identifying time-varying comovement patterns. By applying this concept to excess returns of the monthly S …

Persistent link: https://www.econbiz.de/10011325814

Bidirectional relationship between investor sentiment and excess returns : new evidence from the wavelet perspective

Marczak, Martyna; Beissinger, Thomas - In: Applied economics letters 23 (2016) 16/18, pp. 1305-1311

Persistent link: https://www.econbiz.de/10011702560

Stock returns and inflation in Pakistan

Tiwari, Aviral Kumar; Dar, Arif Billah; Bhanja, Niyati; … - In: Economic modelling 47 (2015), pp. 23-31

Persistent link: https://www.econbiz.de/10011437015

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

Dependences and volatility spillovers between the oil and stock markets: new evidence from the copula and VAR-BEKK-GARCH models

Yu, Lean; Zha, Rui; Stafylas, Dimitrios; He, Kaijian; … - In: International review of financial analysis 68 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012301075