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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011
Persistent link: https://www.econbiz.de/10009720703
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Measuring financial market risk contagion using dynamic MRS-Copula models : the case of Chinese and other international stock markets
Changqing, Luo; Chi, Xie; Cong, Yu; Yan, Xu - In: Economic modelling 51 (2015), pp. 657-671
Persistent link: https://www.econbiz.de/10011476241
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Exploring the co-movements between stock market returns and COVID‑19 pandemic : evidence from wavelet coherence analysis
Gherghina, Ştefan Cristian; Simionescu, Liliana Nicoleta - In: Applied economics letters 29 (2022) 15, pp. 1405-1413
Persistent link: https://www.econbiz.de/10013412191
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Can we still benefit from international diversification? : the case of the Czech and German stock markets
Avdulaj, Krenar; Barunik, Jozef - In: Finance a úvěr 63 (2013) 5, pp. 425-442
Persistent link: https://www.econbiz.de/10010244836
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Dependence structure across equity sectors : evidence from vine copulas
Aslam, Faheem; Hunjra, Ahmed Imran; Bouri, Elie; … - In: Borsa Istanbul Review 23 (2023) 1, pp. 184-202
economic policy. This study examines the sectoral dependence among 82 Pakistani companies using a vine copula approach and …
Persistent link: https://www.econbiz.de/10014307493
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Contagion among select global equity markets : a time-frequency analysis
Bhandari, Avishek; Kamaiah, Bandi - In: Global economy journal : GEJ 19 (2019) 4, pp. 1950023-1-29
Persistent link: https://www.econbiz.de/10012214476
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What drives asymmetric dependence structure of asset return comovements?
Poshakwale, Sunil S.; Mandal, Anandadeep - In: International review of financial analysis 48 (2016), pp. 312-330
Persistent link: https://www.econbiz.de/10011624528
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Are benefits from oil-stocks diversification gone? : new evidence from a dynamic copula and high frequency data
Avdulaj, Krenar; Barunik, Jozef - In: Energy economics 51 (2015), pp. 31-44
Persistent link: https://www.econbiz.de/10011564203
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Are benefits from oil-stocks diversification gone? : new evidence from a dynamic copula and high frequency data
Avdulaj, Krenar; Barunik, Jozef - 2015
empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to … with time-varying copula yields statistically better forecasts of the dependence and quantiles of the distribution relative …
Persistent link: https://www.econbiz.de/10010499593
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A multivariate volatility vine copula model
Brechmann, E. C.; Heiden, M.; Okhrin, Y. - In: Econometric reviews 37 (2018) 1/5, pp. 281-308
Persistent link: https://www.econbiz.de/10012038690