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Spatial contagion between financial markets : new evidence of asymmetric measures

Miled, Wafa; Ftiti, Zied; Sahut, Jean-Michel - In: Risk management decisions and value under uncertainty, (pp. 1183-1220). 2022

Persistent link: https://www.econbiz.de/10013342100

Copula approach to market volatility and technology stocks dependence

Rašiová, Barbara; Árendáš, Peter - In: Finance research letters 52 (2023), pp. 1-3

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Intraday VaR : a copula-based approach

Wang, Keli; Liu, Xiaoquan; Ye, Wuyi - In: Journal of empirical finance 74 (2023), pp. 1-21

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Dynamics of volatility spillovers with structural breaks in Indian foreign exchange market

Kashyap, Suresh; Kashyap, Sachin - In: International journal of business innovation and … 22 (2020) 4, pp. 488-505

Persistent link: https://www.econbiz.de/10012270943

Inter-markets volatility spillover in U.S. bitcoin and financial markets

Qarni, Muhammad Owais; Gulzar, Saqib; Fatima, Syeda Tamkeen - In: Journal of business economics and management 20 (2019) 4, pp. 694-714

This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 … varying dynamics of volatility spillover among U.S. Bitcoin and financial markets. The findings of the study indicate the … presence of low level of integration and contagion between U.S. Bitcoin and financial markets. Asymmetric nature of volatility …

Persistent link: https://www.econbiz.de/10012175787

Conditional systemic risk with penalized copula

Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015

, conditional quantiles are specified via hierarchical Archimedean copula. The parameters and structure of this copula are …

Persistent link: https://www.econbiz.de/10011309638

Does fear spill over?

Chen, Cathy Yi-hsuan - In: Asia-Pacific journal of financial studies 43 (2014) 4, pp. 465-491

Persistent link: https://www.econbiz.de/10010407449

Modeling diversification and spillovers of loan portfolios' losses by LHP approximation and copula

Lee, Yong Woong; Yang, Kisung - In: International review of financial analysis 66 (2019), pp. 1-14

Persistent link: https://www.econbiz.de/10012208950

Stock and currency market linkages : new evidence from realized spillovers in higher moments

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of economics & finance : IREF 42 (2016), pp. 167-185

Persistent link: https://www.econbiz.de/10011625106

Volatility spillover in foreign exchange markets

Rajhans, Rajni Kant; Jain, Anuradha - In: Paradigm : the journal of Institute of Management Technology 19 (2015) 2, pp. 137-151

Persistent link: https://www.econbiz.de/10011761392