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Translating financial integration into correlation risk : a weekly reporting's viewpoint for the volatility behavior of stock markets

Gatfaoui, Hayette - In: Economic modelling 30 (2013), pp. 776-791

Persistent link: https://www.econbiz.de/10009708799

Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching : evidence from over a century of data

Ji, Qiang; Liu, Bing-Yue; Cuñado Eizaguirre, Juncal; … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012658792

Measuring extreme risk spillovers across international stock markets : a quantile variance decomposition analysis

Su, Xianfang - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012660129

Dynamic Risk Spillovers from Oil to Stock Markets : Fresh Evidence from GARCH Copula Quantile Regression Based Covar Model

Tian, Maoxi; Alshater, Muneer; Yoon, Seong-Min - 2022

oil price change and stock market returns at different risk levels. In the model, ten copulas are provided to measure the … stock markets in ten important economies and Brent oil market, we estimate the downward and upward risk spillovers from oil … to stock markets. The empirical results suggest strong evidence of risk spillover effects from oil to stock markets …

Persistent link: https://www.econbiz.de/10013292486

Extreme dependence and risk spillovers across north american equity markets

Warshaw, Evan - In: The North American journal of economics and finance : a … 47 (2019), pp. 237-251

Persistent link: https://www.econbiz.de/10012117855

On equity risk prediction and tail spillovers

Pouliasis, Panos; Kyriakou, Ioannis; Papapostolou, Nikos - In: International journal of finance & economics : IJFE 22 (2017) 4, pp. 379-393

Persistent link: https://www.econbiz.de/10011960379

Risk spillovers between oil and stock markets : a VAR for VaR analysis

Wen, Danyan; Wang, Gang-Jin; Ma, Chaoqun; Wang, Yudong - In: Energy economics 80 (2019), pp. 524-535

Persistent link: https://www.econbiz.de/10012173682

Dynamic risk spillovers from oil to stock markets : fresh evidence from GARCH copula quantile regression-based CoVaR model

Tian, Maoxi; Alshater, Muneer Maher; Yoon, Seong-min - In: Energy economics 115 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013541787

Multiscale extreme risk spillovers among the Chinese mainland, Hong Kong, and London stock markets : comparing the impacts of three Stock Connect programs

Yao, Yinhong; Li, Jingyu; Chen, Wei - In: International review of economics & finance : IREF 89 (2024) 1, pp. 1217-1233

Persistent link: https://www.econbiz.de/10014446620

Dynamic Risk Spillovers from Oil to Stock Markets : Fresh Evidence from GARCH Copula Quantile Regression-Based CoVar Model

Tian, Maoxi; M. Alshater, Muneer; Yoon, Seong-Min - 2023

oil price change and stock market returns at different risk levels. In the model, ten copulas are provided to measure the … stock markets in ten important countries and Brent oil market, we estimate the downward and upward risk spillovers from oil … to stock markets. The empirical results suggest strong evidence of risk spillover effects from oil to stock markets …

Persistent link: https://www.econbiz.de/10014256552