Search Results - subject:"Copula function"

COVID-19 pandemic and the dependence structure of global stock markets

Aslam, Faheem; Mughal, Khurrum Shahzad; Aziz, Saqib; … - In: Applied economics 54 (2022) 18, pp. 2013-2031

Persistent link: https://www.econbiz.de/10012875715

Model and moment selection in factor copula models

Duan, Fang; Manner, Hans; Wied, Dominik - In: Journal of financial econometrics 20 (2022) 1, pp. 45-75

Persistent link: https://www.econbiz.de/10012878186

Portfolio risk and stress across the business cycle

Chakraborty, Sandip; Kakani, Ram Kumar; Sampath, Aravind - In: Journal of international financial markets, … 80 (2022), pp. 1-24

Persistent link: https://www.econbiz.de/10013533149

Nonparametric estimation and testing for positive quadrant dependent bivariate copula

Lu, Lu; Ghosh, Sujit K. - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 664-677

Persistent link: https://www.econbiz.de/10013534040

The effect of dependence on European market risk : a nonparametric time varying approach

Ascorbebeitia, Jone; Ferreira, Eva; Orbe-Mandaluniz, Susan - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 913-923

Persistent link: https://www.econbiz.de/10013534579

Investigating Intertrade Durations Using Copulas : An Experiment with NASDAQ Data

Chakravarty, Ranjan R.; Pani, Sudhanshu Sekhar - 2022

The pattern of dependence between liquidity, durations (orders and trades) and bid-ask spreads in a limit order market are examined in high resolution invoking copulas and graph theory. Using intraday data from a sample of NASDAQ 100 stocks and an experimental design, we study the information...

Persistent link: https://www.econbiz.de/10013492482