Search Results - subject:"conditional dependence"

Unique bidder-target relatedness and synergies creation in mergers and acquisitions

Liu, Tingting; Lu, Zhongjin; Shu, Tao; Wei, Fengrong - In: The journal of corporate finance : contracting, … 73 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013209854

The locally Gaussian partial correlation

Otneim, Håkon; Tjostheim, Dag - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 924-936

Persistent link: https://www.econbiz.de/10013534580

Testing for endogeneity of Covid-19 patient assignments

Gouriéroux, Christian; Djogbenou, A.; Jasiak, Joann - In: Journal of financial econometrics 20 (2022) 5, pp. 875-901

Persistent link: https://www.econbiz.de/10013460030

Leverage and volatility feedback effects and conditional dependence index : a nonparametric study

Sun, Yiguo; Wu, Ximing - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-20

volatility index (VIX) via a nonparametric copula method. Specifically, we propose a conditional dependence index to investigate …

Persistent link: https://www.econbiz.de/10011857010

Best fitting fat tail distribution for the volatilities of energy futures : gev, gat and stable distributions in GARCH and APARCH models

Gunay, Samet; Khaki, Audil Rashid - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-19

Precise modeling and forecasting of the volatility of energy futures is vital to structuring trading strategies in spot markets for risk managers. Capturing conditional distribution, fat tails and price spikes properly is crucial to the correct measurement of risk. This paper is an attempt to...

Persistent link: https://www.econbiz.de/10011857131

About Kendall's regression

Derumigny, Alexis; Fermanian, Jean-David - 2018

Persistent link: https://www.econbiz.de/10012201098

Conditional dependence un NAFTA Block : GARCH model and Copula approach

Sosa, Miriam; Bucio Pacheco, Christian; Cabello … - In: Ecos de economía 22 (2018) 47, pp. 73-91

Persistent link: https://www.econbiz.de/10012131376

Leverage and volatility feedback effects and conditional dependence index: A nonparametric study

Sun, Yiguo; Wu, Ximing - In: Journal of Risk and Financial Management 11 (2018) 2, pp. 1-20

volatility index (VIX) via a nonparametric copula method. Specifically, we propose a conditional dependence index to investigate …

Persistent link: https://www.econbiz.de/10012611017

Best fitting fat tail distribution for the volatilities of energy futures: Gev, gat and stable distributions in GARCH and APARCH models

Gunay, Samet; Khaki, Audil Rashid - In: Journal of Risk and Financial Management 11 (2018) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10012611018

Conditional dependence in post-crisis markets : dispersion and correlation skew trades

Sokolinskiy, Oleg - In: Review of quantitative finance and accounting 55 (2020) 2, pp. 389-426

Persistent link: https://www.econbiz.de/10012303884