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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

This study contributes a rich set of quantitative methodologies including a non-parametric approach (Chi-plots and K-plots) as well as copulas (traditional and time-varying with Student’s t-copulas) to the existing literature in terms of determining the dependence structure in ASEAN stock...

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

Dynamics in the co-movement of economic growth and stock return : comparison between the United States and China

Jiang, Yu - In: Economic research 32 (2019) 1,2, pp. 1965-1976

Persistent link: https://www.econbiz.de/10012435294

Identifying asymmetric comovements of international stock market returns

Li, Fuchun - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 507-543

Persistent link: https://www.econbiz.de/10010391948

Examining the dependence structure between carry trade and equity market returns in BRICS economies

Makhanya, Kabelo Collen; Bonga-Bonga, Lumengo; … - In: International economic journal 38 (2024) 2, pp. 365-384

Persistent link: https://www.econbiz.de/10014577873

Foreign investors, rebalancing trades, and increases in U.S.-Japan stock market correlations

Imai, Hiroyuki; Kim, Jong-Min - In: Applied economics 56 (2024) 47, pp. 5634-5649

Persistent link: https://www.econbiz.de/10015051126

Multiscale partial correlation clustering of stock market returns

Michis, Antonis A. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-22

This study proposes a wavelet procedure for estimating partial correlation coefficients between stock market returns …

Persistent link: https://www.econbiz.de/10012813576

Causality, information flow, and co-movement analysis of major stock indices

Karatas, Cengiz; Unal, Gazanfer - In: Annals of financial economics 17 (2022) 3, pp. 1-21

Persistent link: https://www.econbiz.de/10013367639

A grey-based correlation with multi-scale analysis : S&P 500 VIX and individual VIXs of large US company stocks

Wang, Zhenkun; Bouri, Elie; Ferreira, Paulo; Shahzad, … - In: Finance research letters 48 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013459296

Profit, cash flow, and leverage : the case of ASEAN stock market performance during the COVID-19 pandemic

Abbas, Yulianti; Nainggolan, Yunieta Anny - In: Journal of accounting in emerging economies : JAEE 13 (2023) 5, pp. 898-921

Persistent link: https://www.econbiz.de/10014427722

Long memory dynamics for multivariate dependence under heavy tails

Janus, Paweł; Koopman, Siem Jan; Lucas, André - In: Journal of empirical finance 29 (2014), pp. 187-206

Persistent link: https://www.econbiz.de/10011300485