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  • Search: subject:"Time-Varying Copula"
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Year of publication
Subject
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Multivariate Verteilung 35 Multivariate distribution 35 Time-varying copula 18 Stock market 16 time-varying copula 16 Aktienmarkt 15 Theorie 15 Volatility 15 Volatilität 15 ARCH model 14 ARCH-Modell 14 Theory 14 Capital income 12 Kapitaleinkommen 12 Schätzung 11 Zeitreihenanalyse 11 Börsenkurs 10 Estimation 10 Risikomaß 10 Risk measure 10 Time series analysis 10 Risk management 9 Share price 9 Risikomanagement 8 Risk 8 Financial crisis 7 Finanzkrise 7 Risiko 7 Correlation 6 Korrelation 6 time varying copula 6 China 5 CoVaR 5 Exchange rate 5 International financial market 5 Internationaler Finanzmarkt 5 Market integration 5 Marktintegration 5 Oil price 5 Statistical distribution 5
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Online availability
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Undetermined 33 Free 20 CC license 1
Type of publication
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Article 47 Book / Working Paper 14
Type of publication (narrower categories)
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Article in journal 39 Aufsatz in Zeitschrift 39 Working Paper 7 Graue Literatur 4 Non-commercial literature 4 Arbeitspapier 3 Article 3 Conference paper 1 Konferenzbeitrag 1
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Language
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English 52 Undetermined 9
Author
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Pandey, Piyush 6 Sehgal, Sanjay 6 Ahmed, Osama 4 Deisting, Florent 3 Ignatieva, Katja 3 Ji, Qiang 3 Liu, Bing-Yue 3 Platen, Eckhard 3 Ben Messaoud, Samia 2 Cai, Zongwu 2 Chang, Chi-Hung 2 Chen, Mei-Ping 2 Chung, Huimin 2 Gaisser, Sandra 2 Giacomini, Enzo 2 Hafner, Christian M. 2 Hautsch, Nikolaus 2 Huang, Dengshi 2 Ignatieva, Ekaterina 2 Kielmann, Julia 2 Kouki, Mondher 2 Lee, Chien-Chiang 2 Liu, Guannan 2 Manner, Hans 2 Memmel, Christoph 2 Min, Aleksey 2 Nguyen, Cuong 2 Schmidt, Rafael 2 Sghaier, Nadia 2 Spokoiny, Vladimir 2 Wehn, Carsten 2 Wei, Yu 2 Wen, Xiaoqian 2 Yang, Bingduo 2 Abdelradi, Fadi 1 Araichi, Sawssen 1 Ascorbebeitia, Jone 1 Barnett, William A. 1 Belkacem, Lotfi 1 Bhatti, M. Ishaq 1
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Institution
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Finance Discipline Group, Business School 2 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 2 Deutsche Bundesbank 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Energy economics 6 Applied economics 2 Cogent Economics & Finance 2 Cogent economics & finance 2 Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets 2 Energy Economics 2 International review of economics & finance : IREF 2 Research Paper Series / Finance Discipline Group, Business School 2 SFB 649 Discussion Paper 2 SFB 649 Discussion Papers 2 The North American journal of economics and finance : a journal of financial economics studies 2 Theoretical economics letters 2 Applied Economics 1 Applied economics letters 1 Applied financial economics 1 Asia-Pacific Financial Markets 1 Discussion Paper Series 2 1 Discussion Paper Series 2: Banking and Financial Studies 1 Economic modelling 1 Economic research 1 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 1 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 1 Empirical economics : a quarterly journal of the Institute for Advanced Studies 1 Finance research letters 1 Global business review 1 Graz economics papers : GEP 1 IRTG 1792 Discussion Paper 1 International journal of economics and finance 1 International journal of food and beverage manufacturing and business models : an official publication of the Information Resources Management Association 1 Japan and the World Economy 1 Japan and the world economy : international journal of theory and policy 1 Journal of International Financial Markets, Institutions and Money 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Journal of international financial markets, institutions & money 1 Journal of quantitative economics 1 MPRA Paper 1 Pacific-Basin finance journal 1 Quantitative finance and economics 1 Research in international business and finance 1 Review of quantitative finance and accounting 1
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Source
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ECONIS (ZBW) 43 RePEc 11 EconStor 7
Showing 1 - 10 of 61
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Further evidence of contagion effect between the Chinese and the G20 stock markets during the COVID-19 pandemic: A time-varying copula approach
Sghaier, Nadia; Kouki, Mondher; Ben Messaoud, Samia - In: Cogent Economics & Finance 11 (2023) 1, pp. 1-28
over a recent period from 1st January 2013 to 7 April 2022. The empirical study is conducted using the time-varying copula …
Persistent link: https://www.econbiz.de/10015074623
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Further evidence of contagion effect between the Chinese and the G20 stock markets during the COVID-19 pandemic : a time-varying copula approach
Sghaier, Nadia; Kouki, Mondher; Ben Messaoud, Samia - In: Cogent economics & finance 11 (2023) 1, pp. 1-28
over a recent period from 1st January 2013 to 7 April 2022. The empirical study is conducted using the time-varying copula …
Persistent link: https://www.econbiz.de/10014500850
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Stock market returns and oil price shocks : a CoVaR analysis based on dynamic vine copula models
Kielmann, Julia; Manner, Hans; Min, Aleksey - In: Empirical economics : a quarterly journal of the … 62 (2022) 4, pp. 1543-1574
Persistent link: https://www.econbiz.de/10013197238
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Multiscale extreme risk spillovers among the Chinese mainland, Hong Kong, and London stock markets : comparing the impacts of three Stock Connect programs
Yao, Yinhong; Li, Jingyu; Chen, Wei - In: International review of economics & finance : IREF 89 (2024) 1, pp. 1217-1233
Persistent link: https://www.econbiz.de/10014446620
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Climate derivatives strategies as an alternative to set up guaranteed prices for agricultural producers in México
Cruz-Aké, Salvador; García-Ruiz, Reyna Susana; … - In: Applied economics letters 30 (2023) 3, pp. 302-318
Persistent link: https://www.econbiz.de/10013553404
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The stable tail dependence and influence among the European stock markets : a score-driven dynamic copula approach
Barnett, William A.; Wang, Xue; Xu, Hai-Chuan; Zhou, … - In: The European journal of finance 29 (2023) 16, pp. 1933-1956
Persistent link: https://www.econbiz.de/10014388527
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A time-varying copula approach to investigate the dependence structures of BRICS stock markets before and after Covid-19
Karadag, Tugay; Golbasi Simsek, Gulhayat - In: Emerging markets, finance & trade : a journal of the … 59 (2023) 5, pp. 1475-1486
Persistent link: https://www.econbiz.de/10014289696
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Reconstruction and dynamic dependence analysis of global economic policy uncertainty
Liu, Yue; Zheng, Yuhang; Drakeford, Benjamin M - In: Quantitative finance and economics 3 (2019) 3, pp. 550-561
Persistent link: https://www.econbiz.de/10012176595
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Trending Mixture Copula Models with Copula Selection
Yang, Bingduo; Cai, Zongwu; Hafner, Christian M.; Liu, … - 2018
Modeling the joint tails of multiple nancial time series has important implications for risk management. Classical models for dependence often encounter a lack of t in the joint tails, calling for additional exibility. In this paper we introduce a new nonparametric time-varying mixture copula...
Persistent link: https://www.econbiz.de/10012433206
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Vertical price transmission in the Egyptian tomato sector after the Arab Spring
Ahmed, Osama - In: Applied Economics 50 (2018) 47, pp. 5094-5109
Arab Spring, which accentuated economic precariousness in Egypt. Static and time-varying copula methods are used for this …
Persistent link: https://www.econbiz.de/10011902052
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