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A Revisit to the Dependence Structure between Stock and Foreign Exchange Markets : A Dependence-Switching Copula Approach

Wang, Yi-Chiuan - 2012

This paper develops a dependence-switching copula model to examine dependence and tail dependence for four different market statuses, namely, rising-stocks/appreciating-currency, falling-stocks/depreciating-currency, rising-stocks/depreciating-currency, and falling-stocks/appreciating-currency....

Persistent link: https://www.econbiz.de/10013107722

Ricardian equivalence, expansionary fiscal contraction and the stock market : a VECM approach

Giorgioni, Gianluigi; Holden, Kenneth - In: Applied economics 35 (2003) 12, pp. 1435-1443

Persistent link: https://www.econbiz.de/10001804552

Global and country-specific business cycle risk in time-vaying excess returns on asset markets

Nitschka, Thomas - 2012

Persistent link: https://www.econbiz.de/10009674033

The Forward Premium Puzzle and Latent Factors Day by Day

Bernoth, Kerstin - 2011

We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...

Persistent link: https://www.econbiz.de/10013119324

The Forward Premium Puzzle and Latent Factors Day by Day

Bernoth, Kerstin - 2010

Persistent link: https://www.econbiz.de/10013141467

European stock market dependencies when price changes are unusually large

Schich, Sebastian T. - In: Applied financial economics 14 (2004) 3, pp. 165-177

Persistent link: https://www.econbiz.de/10001915455

Dependencies between European stock markets when price changes are unusually large

Schich, Sebastian T. - 2002

data on stock market indices for Germany, the United Kingdom, France, the Netherlands and Italy from 1973 to 2001 … pair considered. For example, stock markets in the Netherlands and France are more closely and those in the United Kingdom …

Persistent link: https://www.econbiz.de/10001667434

Dependencies between European stock markets when price changes are unusually large

Schich, Sebastian T. - 2002

data on stock market indices for Germany, the United Kingdom, France, the Netherlands and Italy from 1973 to 2001 … grosser Kursschwankungen anhand von täglichen Daten der Aktienmarktindices für Deutschland, Großbitannien, Frankreich, die … pair considered. For example, stock markets in the Netherlands and France are more closely and those in the United Kingdom …

Persistent link: https://www.econbiz.de/10011431447

Modelling returns on stock indices for Western and Central European stock exchanges : a Markov switching approach

Białkowski, Je̜drzej - 2003

Persistent link: https://www.econbiz.de/10001768500

Volatility and autocorrelation in major European stock markets

Booth, G. Geoffrey - In: The European journal of finance 4 (1998) 1, pp. 61-74

Persistent link: https://www.econbiz.de/10001247520