Similar Search Results

Effects of MILA on their stock markets : an empirical analysis on market activity and dynamic correlations

Muñoz-Mendoza, Jorge Andrés; Sepúlveda-Yelpo, Sandra … - In: International journal of emerging markets 17 (2022) 2, pp. 574-599

Persistent link: https://www.econbiz.de/10012886402

Integration of financial markets during COVID-19 : a dynamic correlation analysis on Euronext

Espinosa Méndez, Christian - In: Applied economics letters 30 (2023) 3, pp. 264-268

Persistent link: https://www.econbiz.de/10013553137

Putting the 'C' into Crisis : Contagion, Correlations and Copulas on EMU Bond Markets

Philippas, Dionisis - 2015

We investigate the contagion appetite generated by the current debt crisis in Greece by focusing on six European Monetary Union bond markets, namely the Netherlands, Germany, Italy, Spain, Portugal and France. We use a framework that contains two procedures, a spillover regime/switching model...

Persistent link: https://www.econbiz.de/10013036128

Estimating dynamic copula dependence using intraday data

Grossmass, Lidan; Poon, Ser-Huang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 4, pp. 501-529

Persistent link: https://www.econbiz.de/10011339412

Dependence between Croatian and European stock markets : a copula GARCH approach

Dajčman, Silvo - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 31 (2013) 2, pp. 209-232

Persistent link: https://www.econbiz.de/10010240939

How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas

Mzoughi, Hela; Mansouri, Fayçal - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 1-14

Persistent link: https://www.econbiz.de/10010338365

Analyzing dependence structure of equity, bond and money markets by using time-varying copulas

Nguyen, Cuong; Nguyen, Tristan - In: International journal of economics and finance 6 (2014) 3, pp. 37-54

Persistent link: https://www.econbiz.de/10010339644

Time-varying dependence between stock and government bond returns : international evidence with dynamic copulas

Jammazi, Rania; Tiwari, Aviral Kumar; Ferrer, Román; … - In: The North American journal of economics and finance : a … 33 (2015), pp. 74-93

Persistent link: https://www.econbiz.de/10011534370

The time-varying and asymmetric dependence between crude oil spot and futures markets : evidence from the mixture copula-based ARJI-GARCH model

Chang, Kuang-liang - In: Economic modelling 29 (2012) 6, pp. 2298-2309

Persistent link: https://www.econbiz.de/10009673749

Modeling time-varying skewness via decomposition for out-of-sample forecast

Liu, Xiaochun - In: International journal of forecasting 31 (2015) 2, pp. 296-311

Persistent link: https://www.econbiz.de/10011474059

A service of the

zbw