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~isPartOf:"Working papers / Ryerson University, Department of Economics"
~isPartOf:"Quantitative finance"
~isPartOf:"Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets"
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Vulnerability-CoVaR : investigating the crypto-market
Waltz, Martin
;
Singh, Abhay Kumar
;
Okhrin, Ostap
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1731-1745
Persistent link: https://www.econbiz.de/10013367943
Saved in:
2
Hedging cryptos with Bitcoin futures
Liu, Francis
;
Packham, Natalie
;
Lu, Meng-Jou
;
Härdle, …
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 819-841
Persistent link: https://www.econbiz.de/10014304363
Saved in:
3
Portfolios of value and momentum : disappointment aversion and non-normalities
Lalancette, Simon
;
Simonato, Jean-Guy
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1247-1263
Persistent link: https://www.econbiz.de/10013367897
Saved in:
4
Forecasting robust value-at-risk estimates : evidence from UK banks
Sampid, Marius Galabe
;
Hasim, Haslifah Mohamad
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1955-1975
Persistent link: https://www.econbiz.de/10012696799
Saved in:
5
On the dependence structure between S&P500, VIX and implicit Interexpectile Differences
Bellini, Fabio
;
Mercuri, Lorenzo
;
Rroji, Edit
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1839-1848
Persistent link: https://www.econbiz.de/10012313519
Saved in:
6
Sovereign risk zones in Europe during and after the debt crisis
Arakelian, Veni
;
Dellaportas, Petros
;
Savona, Roberto
; …
- In:
Quantitative finance
19
(
2019
)
6
,
pp. 961-980
Persistent link: https://www.econbiz.de/10012194735
Saved in:
7
Estimation of risk contributions with MCMC
Koike, Takaaki
;
Minami, Mihoko
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1579-1597
Persistent link: https://www.econbiz.de/10012194808
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8
Impacts of economic integration on stock market dependence without jump effects
Chuang, Chung-Chu
;
Lee, Jeff T. C.
;
Wu, Chih-Chiang
- In:
Emerging markets finance & trade : a journal of the …
54
(
2018
)
1/2/3
,
pp. 132-143
Persistent link: https://www.econbiz.de/10012122860
Saved in:
9
Sovereign risk contagion in East Asia : a mixture of time-varying copulas approach
Lee, Yong Woong
;
Hong, KiHoon
;
Yang, Kisung
- In:
Emerging markets finance & trade : a journal of the …
54
(
2018
)
7/8/9
,
pp. 1513-1537
Persistent link: https://www.econbiz.de/10012123613
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10
Dynamic currency linkages and their determinants : an empirical study for East Asian economic community region
Pandey, Piyush
;
Sehgal, Sanjay
- In:
Emerging markets finance & trade : a journal of the …
54
(
2018
)
7/8/9
,
pp. 1538-1556
Persistent link: https://www.econbiz.de/10012123614
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11
Neural network copula portfolio optimization for exchange traded funds
Zhao, Yang
;
Stasinakis, Charalampos
;
Sermpinis, Georgios
; …
- In:
Quantitative finance
18
(
2018
)
5
,
pp. 761-775
Persistent link: https://www.econbiz.de/10011907933
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12
The shifting dependence dynamics between the G7 stock markets
BenSaïda, Ahmed
;
Boubaker, Sabri
;
Nguyen, Duc Khuong
- In:
Quantitative finance
18
(
2018
)
5
,
pp. 801-812
Persistent link: https://www.econbiz.de/10011907944
Saved in:
13
Statistical arbitrage with vine copulas
Stübinger, Johannes
;
Mangold, Benedikt
;
Krauss, Christopher
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1831-1849
Persistent link: https://www.econbiz.de/10012262849
Saved in:
14
Asymmetric dependence between aggregate consumption and financial risk
Chollete, Lorán
;
Ning, Cathy Q.
-
2012
Persistent link: https://www.econbiz.de/10011382416
Saved in:
15
An investigation of the cross-strait economic integration and dependence of stock markets
Fang, Ming
;
Wang, Ming-Chieh
;
Chang, Chiu-Lan
- In:
Emerging markets finance & trade : a journal of the …
53
(
2017
)
3
,
pp. 661-669
Persistent link: https://www.econbiz.de/10011764350
Saved in:
16
A mixed dependence between the exchange rate and international crude oil returns : an application of dynamic mixture copula
Chang, Kuang-Liang
- In:
Emerging markets finance & trade : a journal of the …
53
(
2017
)
10/11/12
,
pp. 2347-2360
Persistent link: https://www.econbiz.de/10011825350
Saved in:
17
Jump-dependent model for optimal index futures hedging in five major Asian stock markets
Lai, Yi-Hao
;
Wang, Yi-Chiuan
- In:
Emerging markets finance & trade : a journal of the …
52
(
2016
)
4/6
,
pp. 786-796
Persistent link: https://www.econbiz.de/10011563109
Saved in:
18
Jump tail dependence in the Chinese stock market
Li, Sophia Zhengzi
;
Wang, Hao
;
Zhao, Hua
- In:
Emerging markets finance & trade : a journal of the …
52
(
2016
)
10/12
,
pp. 2379-2396
Persistent link: https://www.econbiz.de/10011672561
Saved in:
19
Extreme dependence in international stock markets
Ning, Cathy Q.
-
2009
Persistent link: https://www.econbiz.de/10008758209
Saved in:
20
Modeling asymmetric volatility clusters using copulas and high frequency data
Ning, Cathy Q.
;
Xu, Dinghai
;
Wirjanto, Tony S.
-
2009
Persistent link: https://www.econbiz.de/10008758211
Saved in:
21
The dependence structure of macroeconomic variables in the US
Chollete, Lor´an
;
Ning, Cathy Q.
-
2009
Persistent link: https://www.econbiz.de/10008758212
Saved in:
22
An investigation of the flight-to-quality effect : evidence from Asia-Pacific countries
Chang, Chiu-lan
;
Hsueh, Paul L.
- In:
Emerging markets finance & trade : a journal of the …
49
(
2013
),
pp. 53-69
Persistent link: https://www.econbiz.de/10010258490
Saved in:
23
Time-varying dependency and structural changes in currency markets
Hsieh, Chia-hsun
;
Huang, Shian-chang
- In:
Emerging markets finance & trade : a journal of the …
48
(
2012
)
2
,
pp. 94-127
Persistent link: https://www.econbiz.de/10009622270
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