Search Results - subject:"Codependence"

Dependence structure across equity sectors : evidence from vine copulas

Aslam, Faheem; Hunjra, Ahmed Imran; Bouri, Elie; … - In: Borsa Istanbul Review 23 (2023) 1, pp. 184-202

Understanding sectoral dynamic dependence across equity indexes is crucial for investment decisions and designing economic policy. This study examines the sectoral dependence among 82 Pakistani companies using a vine copula approach and daily data from July 1, 2014, to December 17, 2019. Vine...

Persistent link: https://www.econbiz.de/10014307493

How to predict the performance of NBA draft prospects

Czasonis, Megan; Kritzman, Mark; Kulasekaran, Cel; … - 2023 - This version November 27, 2023

Persistent link: https://www.econbiz.de/10014464533

Correlation and dependence between oil prices, stock returns, policy uncertainty, and financial stress during COVID-19 pandemic : new evidence from a multicountry analysis using cross-quantilogram method

Tiwari, Aviral Kumar; Abakah, Emmanuel Joel Aikins; … - 2024

Persistent link: https://www.econbiz.de/10015045591

Dependence structure across equity sectors: Evidence from vine copulas

Aslam, Faheem; Hunjra, Ahmed Imran; Bouri, Elie; … - In: Borsa İstanbul Review 23 (2023) 1, pp. 184-202

Persistent link: https://www.econbiz.de/10015635862

Bank-specific factors, market conditions and the riskiness of Islamic and conventional banks : evidence from recent quantile approaches

Aydemir, Resul; Atan, Huzeyfe Zahit; Güloğlu, Bülent - In: International journal of Islamic and Middle Eastern … 17 (2024) 1, pp. 16-44

Persistent link: https://www.econbiz.de/10014478178

Contrasting cryptocurrencies with other assets : full distributions and the COVID impact

Maasoumi, Esfandiar; Wu, Xi - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-15

NASDAQ daily return has the most similar density and co-dependence with Bitcoin daily return, generally, but after the COVID …, Motels industries, compared to several others. This study shed light on examining distribution similarity and co-dependence …

Persistent link: https://www.econbiz.de/10012628498

Short-, long- and cross-term comovement of OMXH25 stocks

Jach, Agnieszka; Felixson, Karl - In: Nordic journal of business : NJB 68 (2019) 3, pp. 23-39

Persistent link: https://www.econbiz.de/10012304463

Contrasting cryptocurrencies with other assets: Full distributions and the COVID impact

Maasoumi, Esfandiar; Wu, Xi - In: Journal of Risk and Financial Management 14 (2021) 9, pp. 1-15

Persistent link: https://www.econbiz.de/10013201124

How do the global equity and bond markets affect Islamic and conventional banks? : a comparative cross-country analysis using multivariate regression quantiles

Aydemir, Resul; Atan, Huzeyfe Zahit; Güloğlu, Bülent - In: Eurasian economic review : a journal in applied … 12 (2022) 1, pp. 95-114

Persistent link: https://www.econbiz.de/10013175261

Sovereign bond-backed securities : a VAR-for-VaR and marginal expected shortfall assessment

Sola Perea, Maite de; Dunne, Peter G.; Puhl, Martin; … - 2018

The risk reducing benefits of the sovereign bond-backed security (SBBS) proposal of Brunnermeier et al (2011, 2016, 2017) have been assessed in terms of the likely losses that different kinds of holders would suffer under simulated default scenarios. However, the effects of mark-to-market losses...

Persistent link: https://www.econbiz.de/10011848354