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  • Search: subject:"Copula-GARCH models"
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Year of publication
Subject
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Copula-GARCH models 4 Copulas 3 Maximum Likelihood 3 Simulation 3 Small Sample Properties 3 copula-GARCH models 3 Aktienmarkt 2 Ansteckungseffekt 2 Börsenkurs 2 COVID-19 pandemic 2 Contagion effect 2 Coronavirus 2 Epidemic 2 Epidemie 2 Share price 2 Stock market 2 Welt 2 World 2 stock market contagion 2 wavelet decomposition 2 ARCH model 1 ARCH-Modell 1 Covid-19 Pandemic 1 Impact assessment 1 Maximum likelihood estimation 1 Maximum-Likelihood-Schätzung 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Multivariate Verteilung 1 Multivariate distribution 1 Sampling 1 Stichprobenerhebung 1 Stock Market Contagion 1 Theorie 1 Theory 1 Wavelet decomposition 1 Wirkungsanalyse 1 copulas 1 maximum likelihood 1 simulation 1
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Online availability
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Free 6 CC license 1 Undetermined 1
Type of publication
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Book / Working Paper 4 Article 3
Type of publication (narrower categories)
All
Working Paper 3 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Article 1 Article in journal 1 Aufsatz in Zeitschrift 1
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Language
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English 6 Undetermined 1
Author
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Bianchi, Carluccio 4 Fantazzini, Dean 4 Alqaralleh, Huthaifa 3 Canepa, Alessandra 3 De Giuli, Maria Elena 3 Maggi, Mario 3 Giuli, Maria Elena De 1 Maggi, Mario Alessandro 1 Zanetti Chini, Emilio 1
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Institution
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Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia 1
Published in...
All
Quaderni di Dipartimento 2 Applied Financial Economics 1 Journal of Risk and Financial Management 1 Journal of risk and financial management : JRFM 1 Quaderni del Dipartimento 1 Working paper series 1
Source
All
ECONIS (ZBW) 3 EconStor 2 RePEc 2
Showing 1 - 7 of 7
Cover Image
Evidence of stock market contagion during the COVID-19 pandemic: A wavelet-copula-GARCH approach
Alqaralleh, Huthaifa; Canepa, Alessandra - In: Journal of Risk and Financial Management 14 (2021) 7, pp. 1-18
In this study, we propose a wavelet-copula-GARCH procedure to investigate the occurrence of cross-market linkages during the COVID-19 pandemic. To explore cross-market linkages, we distinguish between regular interdependence and pure contagion, and associate changes in the correlation between...
Persistent link: https://www.econbiz.de/10013201013
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Cover Image
Evidence of stock market contagion during the COVID-19 pandemic : a wavelet-copula-GARCH approach
Alqaralleh, Huthaifa; Canepa, Alessandra - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-18
In this study, we propose a wavelet-copula-GARCH procedure to investigate the occurrence of cross-market linkages during the COVID-19 pandemic. To explore cross-market linkages, we distinguish between regular interdependence and pure contagion, and associate changes in the correlation between...
Persistent link: https://www.econbiz.de/10012626221
Saved in:
Cover Image
Financial contagion during the Covid-19 pandemic : a wavelet-copula-GARCH approach
Alqaralleh, Huthaifa; Canepa, Alessandra; Zanetti … - 2021
Persistent link: https://www.econbiz.de/10013167422
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Cover Image
Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study
Bianchi, Carluccio; Fantazzini, Dean; De Giuli, Maria Elena - 2009
Copula-GARCH models have been recently proposed in the financial literature as a statistical tool to build flexible …
Persistent link: https://www.econbiz.de/10010335297
Saved in:
Cover Image
Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study
Bianchi, Carluccio; Fantazzini, Dean; De Giuli, Maria Elena - Dipartimento di Scienze Economiche e Aziendali, … - 2009
Copula-GARCH models have been recently proposed in the financial literature as a statistical tool to build flexible …
Persistent link: https://www.econbiz.de/10009651792
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Cover Image
Small sample properties of Copula-GARCH modelling : a Monte Carlo study
Bianchi, Carluccio; De Giuli, Maria Elena; Fantazzini, Dean - 2009
Copula-GARCH models have been recently proposed in the financial literature as a statistical tool to build flexible …
Persistent link: https://www.econbiz.de/10010259914
Saved in:
Cover Image
Small sample properties of copula-GARCH modelling: a Monte Carlo study
Bianchi, Carluccio; Giuli, Maria Elena De; Fantazzini, Dean - In: Applied Financial Economics 21 (2011) 21, pp. 1587-1597
Copula-GARCH models have been recently proposed in the financial literature as a statistical tool to deal with flexible …
Persistent link: https://www.econbiz.de/10009278623
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