Search Results - subject:"Exceedance correlation"

Narrow search

Exceedance correlation tests for financial returns

Chen, Yi-ting - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 581-616

Persistent link: https://www.econbiz.de/10011623694

Asymmetric correlations in gold and other financial markets

Miyazaki, T.; Hamori, Shigeyuki - In: Applied economics 48 (2016) 46/48, pp. 4419-4425

Persistent link: https://www.econbiz.de/10011640106

How past market movements affect correlation and volatility

Becker, Christoph; Schmidt, Wolfgang M. - In: Journal of International Money and Finance 50 (2015) C, pp. 78-107

perspective on the behavior of stock markets, and provides an alternative to the concept of exceedance correlation. For a US …

Persistent link: https://www.econbiz.de/10011116929

How past market movements affect correlation and volatility

Becker, Christoph; Schmidt, Wolfgang M. - In: Journal of international money and finance 50 (2015), pp. 78-107

Persistent link: https://www.econbiz.de/10010465421

The symmetrical and positive relationship between crude oil and nominal exchange rate returns

Chang, Kuang-Liang - In: The North American Journal of Economics and Finance 29 (2014) C, pp. 266-284

This paper investigates both the static and dynamic relationships between daily crude oil returns and US dollar exchange rate returns using a test for symmetrical exceedance correlations and two mixture copulas. Empirical results demonstrate that the exceedance correlations between oil and...

Persistent link: https://www.econbiz.de/10010931459

Carry Trades: Betting Against Safe Haven

Kohler, Daniel - School of Economics and Political Science, Universität … - 2007

correlation increases considerably in response to a negative stock market shock. Moreover, a test for symmetry in exceedance … correlation shows that correlation is indeed significantly larger for joint market downturns as opposed to joint market upturns …

Persistent link: https://www.econbiz.de/10005797697