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Analyzing the EU sovereign debt crisis by a new asymmetric copula with reversible correlations
Kobayashi, Masahito; Chen, Jinghui - In: Applied economics 54 (2022) 56, pp. 6497-6509
Persistent link: https://www.econbiz.de/10013411390
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Decomposing time-frequency relationship between interest rates and share prices in India through wavelets
Tiwari, Aviral Kumar - In: Economia internazionale 66 (2013) 4, pp. 515-531
Persistent link: https://www.econbiz.de/10010250728
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Overreaction and multiple tail dependence at the high-frequency level : the copula rose
Ng, Wing Lon (contributor) - 2006
This paper applies a non- and a semiparametric copula-based approach to analyze the first-order autocorrelation of …
Persistent link: https://www.econbiz.de/10003402780
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Copula function approaches for the analysis of serial and cross dependence in stock returns
Rivieccio, Giorgia; De Luca, Giovanni - In: Finance research letters 17 (2016), pp. 55-61
Persistent link: https://www.econbiz.de/10011596218
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Prediction of risk : decoding the serial dependence of stock return volatility with copula
Zhu, Liang; Lim, Christine; Zhang, Jianlun - In: Journal of hospitality & tourism research : JHTR ; the … 45 (2021) 1, pp. 6-27
Persistent link: https://www.econbiz.de/10012426080
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Tail dependence of major US stocks
Kang, Long; Babbs, Simon H. - In: Risk management and corporate governance, (pp. 131-165). 2012
Persistent link: https://www.econbiz.de/10009505349
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Construction and backtesting of a multi-factor stress-scenario for the stock market
Boldyrev, Kirill; Andrianov, Dmitry; Ivliev, Sergey - In: Financial econometrics and empirical market microstructure, (pp. 37-45). 2015
Persistent link: https://www.econbiz.de/10011326724
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A revisit to the dependence structure between the stock and foreign exchange markets : a dependence-switching copula approach
Wang, Yi-chiuan; Wu, Yyh-lin; Lai, Yi-hao - In: Journal of banking & finance 37 (2013) 5, pp. 1706-1719
Persistent link: https://www.econbiz.de/10009729473
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Measuring contagion between energy market and stock market during financial crisis : a copula approach
Wen, Xiaoqian; Wei, Yu; Huang, Dengshi - In: Energy economics 34 (2012) 5, pp. 1435-1446
Persistent link: https://www.econbiz.de/10009688078
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Commodity and equity markets : some stylized facts from a copula approach
Delatte, Anne-Laure; Lopez, Claude - 2013
Persistent link: https://www.econbiz.de/10009713744