Search Results - subject:"Conditional Copula"

Impacts of economic integration on stock market dependence without jump effects

Chuang, Chung-Chu; Lee, Jeff T. C.; Wu, Chih-Chiang - In: Emerging markets finance & trade : a journal of the … 54 (2018) 1/2/3, pp. 132-143

Persistent link: https://www.econbiz.de/10012122860

What drives asymmetric dependence structure of asset return comovements?

Poshakwale, Sunil S.; Mandal, Anandadeep - In: International review of financial analysis 48 (2016), pp. 312-330

Persistent link: https://www.econbiz.de/10011624528

Nonparametric Estimation and Inference for the Copula Parameter in Conditional Copulas

Acar, Elif Fidan - 2010

in bivariate or multivariate models. We develop a unified approach via a conditional copula model in which the copula is … proposed estimator and outline the construction of pointwise confidence intervals. We also contribute a novel conditional … copula selection method based on cross-validated prediction errors and a generalized likelihood ratio-type test to determine …

Persistent link: https://www.econbiz.de/10009455311

Dependence Structures in Chinese and U.S. Financial Markets: A Time-varying Conditional Copula Approach

Hu, Jian - Southern Methodist University, Department of Economics - 2008

In this paper, we use a Time-Varying Conditional Copula approach (TVCC) to model Chinese and U.S. stock markets …

Persistent link: https://www.econbiz.de/10005773595

Dependence Structures in Chinese and U.S. Financial Markets -- A Time-varying Conditional Copula Approach

Hu, Jian - Volkswirtschaftliche Fakultät, … - 2008

In this paper, we use a Time-Varying Conditional Copula approach (TVCC) to model Chinese and U.S. stock markets …

Persistent link: https://www.econbiz.de/10005789899

Estimation of VaR Using Copula and Extreme Value Theory

Hotta, L. K.; Lucas, E. C.; Palaro, H. P - In: Multinational Finance Journal 12 (2008) 3-4, pp. 205-218

This paper proposes a method for estimating the VaR of a portfolio based on copula and extreme value theory. Each return is modeled by ARMA-GARCH models with the joint distribution of innovations modeled by copula. The marginal distributions are modeled by the generalized Pareto distribution in...

Persistent link: https://www.econbiz.de/10010937120

Granger-causality in quantiles between financial markets: Using copula approach

Lee, Tae-Hwy; Yang, Weiping - In: International Review of Financial Analysis 33 (2014) C, pp. 70-78

markets where the dependent (conditional) copula is found, we invert the conditional copula to obtain the conditional …

Persistent link: https://www.econbiz.de/10010786513

Granger-causality in quantiles between financial markets : using copula approach

Lee, Tae-hwy; Yang, Weiping - In: International review of financial analysis 33 (2014), pp. 70-78

Persistent link: https://www.econbiz.de/10010520073

Time-Varying Dependency and Structural Changes in Currency Markets

Hsieh, Chia-Hsun; Huang, Shian-Chang - In: Emerging Markets Finance and Trade 48 (2012) 2, pp. 94-127

This study employs Patton's (2006) conditional copula framework to model dynamic conditional joint distribution with …

Persistent link: https://www.econbiz.de/10010612804

Time-varying dependency and structural changes in currency markets

Hsieh, Chia-hsun; Huang, Shian-chang - In: Emerging markets finance & trade : a journal of the … 48 (2012) 2, pp. 94-127

Persistent link: https://www.econbiz.de/10009622270