Search Results - subject:"dependence structure"

Dynamic asymmetric tail dependence structure among multi-asset classes for portfolio management : dynamic skew-t copula approach

Ito, Kakeru; Yoshiba, Toshinao - In: International review of economics & finance : IREF 97 (2025), pp. 1-19

Persistent link: https://www.econbiz.de/10015324226

Evaluating density forecasts using weighted multivariate scores in a risk management context

Cheng, Jie - In: Computational economics 64 (2024) 6, pp. 3617-3643

Persistent link: https://www.econbiz.de/10015144255

Relationships among return and liquidity of cryptocurrencies

Zhang, Mianmian; Zhu, Bing; Li, Ziyuan; Jin, Siyuan; … - In: Financial innovation : FIN 10 (2024), pp. 1-30

The cryptocurrency market is a complex and rapidly evolving fnancial landscape in which understanding the inter- and intra-asset dependencies among key fnancial variables, such as return and liquidity, is crucial. In this study, we analyze daily return and liquidity data for six major...

Persistent link: https://www.econbiz.de/10014529822

How green screening influences risk transmission among stock-bond indices : insight into the dependence structure

Pan, Zhijie; Zheng, Yanting; Xu, Dandan; Wang, Ting - In: Finance research letters 69 (2024) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10015080869

A unified approach to hierarchical random measures

Catalano, Marta; Del Sole, Claudio; Lijoi, Antonio; … - 2023

Persistent link: https://www.econbiz.de/10014576752

Exploring a three-factor dependence structure of conditional volatilities: Some quantile regression evidence from real estate investment trusts

Liow, Kim Hiang - In: Journal of Risk and Financial Management 15 (2022) 6, pp. 1-13

, and a global stock market index, to examine the dependence structure of conditional volatilities in the real estate … regression results reveal that a simultaneous dependence structure exists between each REIT market and local stock, global REIT …

Persistent link: https://www.econbiz.de/10014332435

Quantifying foreign exchange risk in the selected listed sectors of the Johannesburg Stock Exchange : an SV-EVT pairwise copula approach

Eita, Joel Hinaunye; Djemo, Charles Raoul Tchuinkam - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-29

exchange rates and equity indices of the Johannesburg Stock Exchange (JSE) and to model the dependence structure of the … alternatives models. Dependence structure analysis reveals a strong co-dependency between the stock from the financial industry and …

Persistent link: https://www.econbiz.de/10013252765

Markowitz mean-variance portfolio selection and optimization under a behavioral spectacle : new empirical evidence

Mba, Jules Clément; Ababio, Kofi A.; Agyei, Samuel Kwaku - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-16

encapsulates the MV statistics and investors psychology. The second aspect involves capturing the portfolio asset dependence … structure through copula. Using the behavioral MV (BMV) and the copula behavioral MV (CBMV), the results show that stocks with …

Persistent link: https://www.econbiz.de/10013252777

Exploring a three-factor dependence structure of conditional volatilities : some quantile regression evidence from real estate investment trusts

Liow, Kim Hiang - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-13

Persistent link: https://www.econbiz.de/10013273545

Risk spillover between climate variables and the agricultural commodity market in East Africa

Mubenga-Tshitaka, Jean-Luc; Muteba Mwamba, John W.; … - 2021

-related variables: yield and production. We use a Markov-Switching time-varying copula to describe the joint dependence structure …

Persistent link: https://www.econbiz.de/10012643292