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Search: subject:"copula quantile regression"
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Multivariate Verteilung
10
Multivariate distribution
10
Volatilität
9
ARCH model
8
ARCH-Modell
8
Spillover effect
8
Spillover-Effekt
8
Volatility
8
Regression analysis
7
Regressionsanalyse
7
copula quantile regression
7
Kapitaleinkommen
5
Risikomaß
5
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5
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5
Systemrisiko
5
Aktienmarkt
4
Börsenkurs
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Capital income
4
CoVaR
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Stock market
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Theorie
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Theory
4
copula
4
quantile regression
4
tail dependence
4
volatility index
4
China
3
Copula quantile regression
3
GARCH copula quantile regression
3
Return Volatility relationship
3
Risk spillover
3
Share price
3
Copula quantile regression model
2
Estimation
2
Financial sector
2
Finanzsektor
2
GARCH copula model
2
Return-Volatility relationship
2
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English
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McAleer, Michael
5
Taylor, James
5
Thomas, Lyn
5
Tian, Maoxi
5
Alshater, Muneer Maher
3
Allen, David E
2
Allen, David E.
2
El Khoury, Rim
2
Powell, Robert J.
2
Singh, Abhay K
2
Singh, Abhay K.
2
Allen, David Edmund
1
Avdulaj, Krenar
1
Barunik, Jozef
1
Bouri, Elie
1
Guo, Fei
1
Ji, Hao
1
Kamal, Elham
1
Kinateder, Harald
1
Nasrallah, Nohade
1
Niu, Rong
1
Powell, Robert
1
Powell, Robert J
1
Powell, Ronan
1
Ren, Xianling
1
Singh, Abhay Kumar
1
Wang, Bo
1
Xiao, Yang
1
Yoon, Seong-min
1
Yu, Xinping
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Zehri, Chokri
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
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1
Tinbergen Instituut
1
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Finance research letters
2
Documentos de Trabajo del ICAE
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Energy economics
1
International review of financial analysis
1
Journal of international financial markets, institutions & money
1
KIER Working Papers
1
Montenegrin journal of economics
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
1
The European journal of finance
1
The North American journal of economics and finance : a journal of financial economics studies
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The journal of futures markets
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ECONIS (ZBW)
10
RePEc
4
EconStor
1
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1
Markets dependence in times of turmoil : evidence from US and Asia-Pacific stock markets
Zehri, Chokri
- In:
Montenegrin journal of economics
18
(
2022
)
2
,
pp. 175-189
Persistent link: https://www.econbiz.de/10013254592
Saved in:
2
Hedging performance analysis of energy markets : evidence from
copula
quantile
regression
Ren, Xianling
;
Yu, Xinping
- In:
The journal of futures markets
44
(
2024
)
3
,
pp. 432-450
Persistent link: https://www.econbiz.de/10014475503
Saved in:
3
Assessing systemic risk spillovers from FinTech to China's financial system
Tian, Maoxi
;
El Khoury, Rim
;
Nasrallah, Nohade
; …
- In:
The European journal of finance
30
(
2024
)
8
,
pp. 803–826
Persistent link: https://www.econbiz.de/10014547999
Saved in:
4
FTX Collapse and systemic risk spillovers from FTX Token to major cryptocurrencies
Bouri, Elie
;
Kamal, Elham
;
Kinateder, Harald
- In:
Finance research letters
56
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014473652
Saved in:
5
The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies
Tian, Maoxi
;
El Khoury, Rim
;
Alshater, Muneer Maher
- In:
Journal of international financial markets, …
82
(
2023
),
pp. 1-28
Persistent link: https://www.econbiz.de/10014246021
Saved in:
6
Risk spillovers from China's and the US stock markets during high-volatility periods : evidence from East Asianstock markets
Wang, Bo
;
Xiao, Yang
- In:
International review of financial analysis
86
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014249132
Saved in:
7
Risk spillover analysis of China's financial sectors based on a new GARCH
Copula
quantile
regression
model
Tian, Maoxi
;
Guo, Fei
;
Niu, Rong
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-25
Persistent link: https://www.econbiz.de/10014225784
Saved in:
8
GARCH
copula
quantile
regression
model for risk spillover analysis
Tian, Maoxi
;
Ji, Hao
- In:
Finance research letters
44
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014520440
Saved in:
9
Dynamic risk spillovers from oil to stock markets : fresh evidence from GARCH
copula
quantile
regression
-based CoVaR model
Tian, Maoxi
;
Alshater, Muneer Maher
;
Yoon, Seong-min
- In:
Energy economics
115
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013541787
Saved in:
10
Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
Allen, David E.
;
Singh, Abhay K.
;
Powell, Robert J.
; …
-
2013
copulabased non linear quantile regression known as
copula
quantile
regression
(CQR).The discussion of the properties of the …
Persistent link: https://www.econbiz.de/10010326227
Saved in:
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