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Dependence of stock and commodity futures markets in China: Implications for portfolio investment

Hammoudeh, Shawkat; Nguyen, Duc Khuong; Reboredo, Juan … - In: Emerging Markets Review 21 (2014) C, pp. 183-200

in China. We address this issue by using copula functions that allow for measuring both average and tail dependence. Our …

Persistent link: https://www.econbiz.de/10011117800

Dependence of stock and commodity futures markets in China: implications for portfolio investment

Hammoudeh, Shawkat; Nguyen, Duc Khuong; Reboredo, Juan … - Institut de Préparation à l'Administration et à la … - 2014

the stock markets in China in order to draw implications for portfolio investment. We address this issue by using copula …

Persistent link: https://www.econbiz.de/10010891097

Modelling oil price and exchange rate co-movements

Reboredo, Juan C. - In: Journal of Policy Modeling 34 (2012) 3, pp. 419-440

We examine how oil prices and exchange rates co-move using two measures of dependence: correlations and copulas and …

Persistent link: https://www.econbiz.de/10010577349

An algorithm for constructing high dimensional distributions from distributions of lower dimension

Anatolyev, Stanislav; Khabibullin, Renat; Prokhorov, Artem - In: Economics Letters 123 (2014) 3, pp. 257-261

We propose a new sequential procedure for estimating multivariate distributions in cases when conventional maximum likelihood has too many parameters and is therefore inaccurate or non-operational. The procedure constructs a multivariate distribution and its pseudo-likelihood sequentially, in...

Persistent link: https://www.econbiz.de/10010776628

THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL

CHICHEPORTICHE, RÉMY; BOUCHAUD, JEAN-PHILIPPE - In: International Journal of Theoretical and Applied … 15 (2012) 03, pp. 1250019-1

more general elliptical models, for describing the joint distribution of returns. We find that while Student copulas … methodological interest to efficiently visualise and compare different copulas. We identify the rescaled difference with the Gaussian … formal choices of copulas with no financial interpretation. …

Persistent link: https://www.econbiz.de/10011011286

Reconstructing high dimensional dynamic distributions from distributions of lower dimension

Anatolyev, Stanislav; Khabibullin, Renat; Prokhorov, Artem - Center for Economic and Financial Research (CEFIR), New … - 2013

We propose a new sequential procedure for estimating a dynamic joint distribution of a group of assets. The procedure is motivated by the theory of composite likelihood and by the theory of copula functions. It recovers m-variate distributions by coupling univariate distributions with...

Persistent link: https://www.econbiz.de/10010684833

What Types of Events Provide the Strongest Evidence that the Stock Market is Affected by Company Specific News?

Wolff, Rodney C; Robertson, C.S.; Geva, S. - School of Economics and Finance, Business School - 2006

The efficient market hypothesis states that an efficient market immediately incorporates all available information into the price of the traded entity. It is well established that the stock market is not an efficient market as it consists of numerous traders with differing strategies and...

Persistent link: https://www.econbiz.de/10008694528

Trading Uncertainties: The Transatlantic Divide in Regulating Biotechnology

Jasanoff, Sheila - In: CESifo DICE Report 6 (2008) 2, pp. 36-43

Persistent link: https://www.econbiz.de/10005037371

Are agribusiness stocks an investor safe haven?

D'Antoni, Jeremy M; Detre, Joshua Deam - In: Agricultural Finance Review 74 (2014), pp. 522-538

concern to investors. To the authors’ knowledge, this is the first paper that uses copulas to evaluate the role of …

Persistent link: https://www.econbiz.de/10010940874

Hong Kong: A Bridge Connecting Mainland China and the International Market

CHEN, Zhenxi; KIVIET, Jan F.; Huang, Weihong - Division of Economics, Nanyang Technological University - 2014

mainland China with the global market. …

Persistent link: https://www.econbiz.de/10011165569