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Oil price and Gulf Corporation Council stock indices : new evidence from time-varying copula models

Fenech, Jean-Pierre; Vosgha, Hamed - In: Economic modelling 77 (2019), pp. 81-91

Persistent link: https://www.econbiz.de/10012198426

Assessing some stylized facts about financial market indexes : a Markov copula approach

Silva Filho, Osvaldo Candido da; Ziegelmann, Flávio A. - In: Journal of economic studies 41 (2014) 2, pp. 253-271

Persistent link: https://www.econbiz.de/10010259266

Extreme spillovers of VIX fear index to international equity markets

Massaporn Cheuathonghua; Chaiyuth Padungsaksawasdi; … - In: Financial markets and portfolio management 33 (2019) 1, pp. 1-38

Persistent link: https://www.econbiz.de/10012018353

On the right jump tail inferred from the VIX market

Li, Zhenxiong; Yao, Xingzhi; Izzeldin, Marwan - In: International review of financial analysis 86 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014248409

A note on cointegration of international stock market indices

Dimpfl, Thomas - In: International review of financial analysis 33 (2014), pp. 10-16

Persistent link: https://www.econbiz.de/10010520092

Dynamic hedging in stock index futures via copula multiplicative error model

Chen, Wen-Chin; Liu, Kai-ping; Yang, Yung-lieh; Lai, Yi-hao - In: Applied economics letters 21 (2014) 10/12, pp. 801-805

Persistent link: https://www.econbiz.de/10010416262

The Dogs of the Dow theory : is it valid?

Kim, Doh-Khul - In: International journal of economics and finance 11 (2019) 5, pp. 43-49

Persistent link: https://www.econbiz.de/10012010523

Does the dogs of the Dow theory work at the sectoral level?

Kim, Doh-Khul; Nguyen, Michelle; Arbet, Kyle - In: International journal of economics and finance 12 (2020) 9, pp. 46-52

Persistent link: https://www.econbiz.de/10012426062

The present value model of U.S. stock prices revisited : long-run evidence with structural breaks, 1871-2012

Esteve García, Vicente; Navarro Ibáñez, Manuel; … - 2017

regression models, 2010) as well as the cointegration tests developed in Arai and Kurozumi (Testing for the null hypothesis of … cointegration with a structural break, 2007) and Kejriwal (Cointegration with structural breaks: an application to the Feldstein …- Horioka Puzzle, 2008). The results obtained are consistent with the existence of linear cointegration between the log stock …

Persistent link: https://www.econbiz.de/10011745419

Periodically collapsing bubbles in stock prices cointegrated with broad dividends and macroeconomic factors

Fu, Man; Bidarkota, Prasad V. - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 97-132

output gap shows evidence of cointegration in the DJIA and S&P 500 index data. Nonetheless, a sup augmented Dickey …

Persistent link: https://www.econbiz.de/10011555939