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Risk correlation based on time-varying copula function and extreme value theory
Ji, Xinlong; Zhou, Lu - In: Theoretical economics letters 7 (2017) 7, pp. 2213-2229
Persistent link: https://www.econbiz.de/10011786009
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Modelling the dependence structure between Australian equity and real estate markets : a copula approach
Rong, Ning; Trück, Stefan - In: Australasian accounting business and finance journal : AABF 8 (2014) 5, pp. 93-113
Persistent link: https://www.econbiz.de/10010520425
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High dimensional dynamic stochastic copula models
Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
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Estimating copula densities through wavelets
Genest, Christian; Masiello, Esterina; Tribouley, Karine - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 170-181
Persistent link: https://www.econbiz.de/10009517645
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COVID-19 pandemic and stock market contagion : a wavelet-copula GARCH approach
Alqaralleh, Huthaifa; Canepa, Alessandra; Zanetti … - 2020
Persistent link: https://www.econbiz.de/10012387020
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Time-varying dependence in European equity markets : a contagion and investor sentiment driven analysis
Niţoi, Mihai; Pochea, Maria Miruna - In: Economic modelling 86 (2020), pp. 133-147
Persistent link: https://www.econbiz.de/10012415531
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Analyzing time-frequency co-movements across gold and oil prices with BRICS stock markets : a VaR based on wavelet approach
Mensi, Walid; Hkiri, Besma; Al-Yahyaee, Khamis Hamed; … - In: International review of economics & finance : IREF 54 (2018), pp. 74-102
Persistent link: https://www.econbiz.de/10012033348
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Co-movement between dirty and clean energy : a time-frequency perspective
Farid, Saqib; Sitara Karim; Naeem, Muhammad Abubakr; … - In: Energy economics 119 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014280153
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Time-frequency correlations and extreme spillover effects between carbon markets and NFTs : the roles of EPU and COVID-19
Liu, Jiatong - In: Finance research letters 54 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014472625
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Essays on realized volatility and jumps
Larson, Marcus - 2008
Persistent link: https://www.econbiz.de/10003758871