Search Results - subject:"Dependence Structure"

Dependence risk analysis in energy, agricultural and precious metals commodities: A pair vine copula approach

Kumar, Satish; Tiwari, Aviral Kumar; Raheem, Ibrahim Dolapo - 2019

We apply pair vine copulas, specifically the C-vine and R-vine copulas, to examine the conditional multivariate dependence pattern/structure and R-vine copula-based value-at-risk (VaR) to assess financial portfolio risk. We examine the co-dependencies of 13 major commodity markets (which include...

Persistent link: https://www.econbiz.de/10012389148

Conditional dependence between oil prices and exchange rates in BRICS countries: An application of the copula-GARCH model

He, Yijin; Hamori, Shigeyuki - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-25

We studied the dependence structure between West Texas Intermediate (WTI) oil prices and the exchange rates of BRICS1 …

Persistent link: https://www.econbiz.de/10012611099

Conditional dependence between oil prices and exchange rates in BRICS countries : an application of the copula-GARCH model

He, Yijin; Hamori, Shigeyuki - In: Journal of risk and financial management : JRFM 12 (2019) 2/99, pp. 1-25

We studied the dependence structure between West Texas Intermediate (WTI) oil prices and the exchange rates of BRICS1 …

Persistent link: https://www.econbiz.de/10012021992

Dependence risk analysis in energy, agricultural and precious metals commodities : a pair vine copula approach

Kumar, Satish; Tiwari, Aviral Kumar; Raheem, Ibrahim D.; … - 2019

Persistent link: https://www.econbiz.de/10012137783

Asymmetric dependence structures and decoupling hypothesis : Islamic versus conventional equity indices with copula approach

Houidi, Fatma; Ellouze, Siwar - In: International journal of Islamic and Middle Eastern … 15 (2022) 6, pp. 1088-1108

Persistent link: https://www.econbiz.de/10014337180

Dependence structure between oil and other commodity futures in China based on extreme value theory and copulas

Hussain, Saiful Izzuan; Li, Steven - In: The world economy : the leading journal on … 45 (2022) 1, pp. 317-335

Persistent link: https://www.econbiz.de/10012818942

Dependence and contagion between Vietnamese and major East Asian stock markets

Nguyen Van Chien; Nguyen Thu Thuy - In: International journal of management practice : IJMP 15 (2022) 4, pp. 445-459

Persistent link: https://www.econbiz.de/10013415125

Modeling multivariate operational losses via copula-based distributions with g-and-h marginals

Bee, Marco; Hambuckers, Julien - In: The journal of operational risk 17 (2022) 1, pp. 81-111

Persistent link: https://www.econbiz.de/10014546257

Has the dependence structure of the BRICS exchange rates changed after the financial crisis? : Evidence from R-Vine copula model

Zhang, Zhuoqun; Zhang, Tao - In: International journal of emerging markets 17 (2022) 10, pp. 2490-2509

Persistent link: https://www.econbiz.de/10014331961

Linkage transitions between oil and the stock markets of countries with the highest COVID-19 cases

Hussain, Saiful Izzuan; Nur-Firyal, R.; Ruza, Nadiah - In: Journal of commodity markets 28 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10014335211