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Do COVID-19 epidemic explains the dynamic conditional correlation between china's stock market index and international stock market indices?

Derbali, Abdelkader; Naoui, Kamel; Ben Sassi, Mounir; … - In: The Chinese economy : translations and studies 55 (2022) 3, pp. 227-242

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The Impacts of Climate Policy Uncertainty on Return, Volatility, Correlation and Tail Dependence of China's and Us Stock Markets

Xu, Xin; Huang, Shupei; Lucey, Brian M.; Haizhong, An - 2022

, volatility, correlation and tail dependence of China’s and US stock markets are investigated and compared by adopting GARCH (1 … increase the correlation between China’s and US stock markets’ volatilities …This paper measures China’s daily and monthly climate policy uncertainty (CPU) from Jan 2000 to Mar 2022 based on …

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Comovements between Chinese and global stock markets : evidence from aggregate and sectoral data

Chiang, Thomas C.; Lao, LanJun; Xue, Qingfeng - In: Review of quantitative finance and accounting 47 (2016) 4, pp. 1003-1042

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Co-movement of international copper prices, China's economic activity, and stock returns : Structural breaks and volatility dynamics

Guo, Jin - In: Global finance journal 36 (2018), pp. 62-77

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The fluctuation correlation between investor sentiment and stock index using VMD-LSTM : evidence from China stock market

Gao, Zhenbin; Zhang, Jie - In: The North American journal of economics and finance : a … 66 (2023), pp. 1-18

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Systematic extreme correlation of Chinese stock market

Long, Jun; Yuan, Xianghui; Jin, Liwei; Zhao, Chencheng; … - In: Applied economics 56 (2024) 39, pp. 4718-4729

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Multivariate dynamic Copula models : parameter estimation and forecast evaluation

Aepli, Matthias Daniel; Frauendorfer, Karl; Füss, Roland; … - 2015 - This version: June 2015

dynamic conditional correlation model (DCC) to multivariate elliptical copulas. The most suitable dynamic dependence model in … Student-t copula, and the dynamic Gaussian-Clayton mixture. In comparison to the multivariate normal model, the dynamic …

Persistent link: https://www.econbiz.de/10011344180

Measuring rank correlation coefficients between financial time series : a GARCH-copula based sequence alignment algorithm

Laih, Yih-wenn - In: European journal of operational research : EJOR 232 (2014) 2, pp. 375-382

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Gold prices and exchange rates : a time-varying copula analysis

Yang, Lu; Hamori, Shigeyuki - In: Applied financial economics 24 (2014) 1/3, pp. 41-50

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Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas

Jin, Xisong; Lehnert, Thorsten - 2017

Persistent link: https://www.econbiz.de/10011817658