Search Results - subject:"Dynamic copula"

Financial and oil market's co-movements by a regime-switching copula

Soury, Manel - In: Econometrics : open access journal 12 (2024) 2, pp. 1-19

Over the years, oil prices and financial stock markets have always had a complex relationship. This paper analyzes the interactions and co-movements between the oil market (WTI crude oil) and two major stock markets in Europe and the US (the Euro Stoxx 50 and the SP500) for the period from 1990...

Persistent link: https://www.econbiz.de/10014636410

Analysing the dynamic co-movement between tourism and expected economic growth considering extreme events

Liu, Jianxu; Ramos, Vicente; Yang, Bing; Wang, Mengjiao; … - In: Tourism economics : the business and finance of tourism … 30 (2024) 1, pp. 3-26

Persistent link: https://www.econbiz.de/10014580628

The beneficial role of green bonds as a new strategic asset class : dynamic dependencies, allocation and diversification before and during the pandemic era

Martiradonna, Monica; Romagnoli, Silvia; Santini, Amia - In: Energy economics 120 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014284561

Contagion effect in NAFTA stock markets from 2000 to 2016 : a dynamic copula approach

Bucio Pacheco, Christian; Jesús Gutiérrez, Raúl <de>; … - In: EconoQuantum : Revista de Economía y Negocios 16 (2019) 2, pp. 65-87

Persistent link: https://www.econbiz.de/10012211556

Measuring extreme risk dependence between the oil and gas markets

Ben Ameur, Hachmi; Ftiti, Zied; Jawadi, Fredj; … - In: Risk management decisions and value under uncertainty, (pp. 755-772). 2022

Persistent link: https://www.econbiz.de/10013342041

Diffusion copulas : identification and estimation

Bu, Ruijun; Hadri, Kaddour; Kristensen, Dennis - In: Journal of econometrics 221 (2021) 2, pp. 616-643

Persistent link: https://www.econbiz.de/10012619252

Extreme linkages between foreign exchange and general financial markets

Wu, Chih-Chiang; Chen, Wei Peng; Korsakul, Nattawadee - In: Pacific-Basin finance journal 65 (2021), pp. 1-22

Persistent link: https://www.econbiz.de/10013209544

Multiscale financial risk contagion between international stock markets : evidence from EMD-Copula-CoVaR analysis

Changqing, Luo; Liu, Lan; Wang, Da - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-24

Persistent link: https://www.econbiz.de/10013187623

Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas

Jin, Xisong; Lehnert, Thorsten - 2017

Persistent link: https://www.econbiz.de/10011817658

Time-varying dependence in European equity markets : a contagion and investor sentiment driven analysis

Niţoi, Mihai; Pochea, Maria Miruna - In: Economic modelling 86 (2020), pp. 133-147

Persistent link: https://www.econbiz.de/10012415531