Search Results - subject:"Dependence Structure"

Are the interdependence characteristics of the US and Canadian energy equity sectors nonlinear and asymmetric?

Hanif, Waqas; Hernandez, Jose Arreola; Sadorsky, Perry A.; … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012659565

Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate : a wavelet-based vine-copula approach

Dai, Xingyu; Wang, Qunwei; Zha, Donglan; Zhou, Dequn - In: Energy economics 88 (2020), pp. 1-20

Persistent link: https://www.econbiz.de/10012516743

Dependence structure in the Australian electricity markets : new evidence from regular vine copulae

Apergēs, Nikolaos; Gozgor, Giray; Lau, Chi Keung; … - In: Energy economics 90 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012517130

Co-movement, dependence structure and ethical investment funds under GFC

Luo, Hang; Bhatti, Muhammad Ishaq - In: Theoretical economics letters 9 (2019) 6, pp. 1852-1872

Persistent link: https://www.econbiz.de/10012239703

On the conditional dependence structure between oil, gold and USD exchange rates : Nested copula based GJR-GARCH model

Bedoui, Rihab; Braiek, Sana; Guesmi, Khaled; … - In: Energy economics 80 (2019), pp. 876-889

Persistent link: https://www.econbiz.de/10012173742

Insurance risk capital and risk aggregation : bivariate copula approach

Mejdoub, Hanène; Arab, Mounira Ben - In: International journal of computational economics and … 9 (2019) 3, pp. 202-218

Persistent link: https://www.econbiz.de/10012115324

Modelling tail dependence structure between carry trade and BRICS markets : copula approach

Nefzi, Nourhaine - In: EuroMed journal of management : EMJM 3 (2019) 1, pp. 2-24

Persistent link: https://www.econbiz.de/10012250902

Dynamical volatility and correlation among US stock and treasury bond cash and futures markets in presence of financial crisis : a copula approach

Liu, Hsiang-Hsi; Wang, Teng-Kun; Li, Weny - In: Research in international business and finance 48 (2019), pp. 381-396

Persistent link: https://www.econbiz.de/10012135956

The conditional dependence structure between precious metals: a copula-GARCH approach

Wanat, Stanisław; Papież, Monika; Śmiech, Sławomir - Volkswirtschaftliche Fakultät, … - 2014

The aim of the paper is to analyse the conditional dependence structure between precious metal returns using a copula … given state of the market corresponds to a typical pattern of the conditional dependence structure. Cluster analysis allows … dependence structure. The application of the methodology described above to the period between 1997 and 2013 indicates three …

Persistent link: https://www.econbiz.de/10011112778

Modelling the dependence structure between Australian equity and real estate markets : a copula approach

Rong, Ning; Trück, Stefan - In: Australasian accounting business and finance journal : AABF 8 (2014) 5, pp. 93-113

Persistent link: https://www.econbiz.de/10010520425