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Search: subject:"Markov-switching copula"
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Capital income
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Markov-switching copula
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Applied economics letters
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Time-varying dependence dynamics between international commodity prices and Australian industry stock returns : a perspective for portfolio diversification
Tiwari, Aviral Kumar
;
Abakah, Emmanuel Joel Aikins
; …
- In:
Energy economics
108
(
2022
),
pp. 1-30
Persistent link: https://www.econbiz.de/10013203257
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2
The Dynamics and Strength of Linkages between the Stock Markets in the Czech Republic, Hungary and Poland after their EU Accession
Doman, Malgorzata
;
Doman, Ryszard
- In:
Dynamic Econometric Models
13
(
2013
),
pp. 5-32
Markov-switching
copula
models, and the applied measures of the strength of the linkages are dynamic Spearman’s rho and tail …
Persistent link: https://www.econbiz.de/10011271658
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3
Asymmetric downside and upside co-movements between stock and REIT markets
Chang, Kuang-Liang
- In:
Applied economics letters
25
(
2018
)
2
,
pp. 78-82
Persistent link: https://www.econbiz.de/10011853694
Saved in:
4
Does REIT index hedge inflation risk? : new evidence from the tail quantile dependences of the Markov-switching GRG copula
Chang, Kuang-Liang
- In:
The North American journal of economics and finance : a …
39
(
2017
),
pp. 56-67
Persistent link: https://www.econbiz.de/10011878580
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