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Dependence structure among international stock markets : a GARCH–copula analysis
Yang, Lu; Hamori, Shigeyuki - In: Applied financial economics 23 (2013) 22/24, pp. 1805-1817
Persistent link: https://www.econbiz.de/10010337261
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Gold prices and exchange rates : a time-varying copula analysis
Yang, Lu; Hamori, Shigeyuki - In: Applied financial economics 24 (2014) 1/3, pp. 41-50
Persistent link: https://www.econbiz.de/10010389374
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Modeling dependence structures among international stock markets : evidence from hierarchical Archimedean copulas
Yang, Lu; Cai, Xiao Jing; Li, Mengling; Hamori, Shigeyuki - In: Economic modelling 51 (2015), pp. 308-314
Persistent link: https://www.econbiz.de/10011476020
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Modeling the dynamis of international agricultural commodity prices : a comparison of GARCH and stochastic volatility models
Yang, Lu; Hamori, Shigeyuki - In: Annals of financial economics 13 (2018) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10011958469
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Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate
Peng, Wei; Hu, Shichao; Chen, Wang; Zeng, Yu-feng; Yang, Lu - In: International review of economics & finance : IREF 59 (2019), pp. 137-149
Persistent link: https://www.econbiz.de/10012202498
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Spatial linkage of volatility spillovers and its explanation across G20 stock markets : a network framework
Zhang, Weiping; Zhuang, Xintian; Lu, Yang; Wang, Jian - In: International review of financial analysis 71 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012435765
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Volatility of real GDP : some evidence from the United States, the United Kingdom and Japan
Hamori, Shigeyuki - In: Japan and the world economy : international journal of … 12 (2000) 2, pp. 143-152
Persistent link: https://www.econbiz.de/10001471652
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Real wage behavior in the United States, Britain, and Japan : an ARCH approach
Hamori, Shigeyuki; Anderson, David A. - In: Asian economic and political issues 4 (2001), pp. 23-34
Persistent link: https://www.econbiz.de/10001773485
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Alternative characterization of the volatility in the growth rate of real GDP
Bhar, Ramaprasad; Hamori, Shigeyuki - In: Japan and the world economy : international journal of … 15 (2003) 2, pp. 223-231
Persistent link: https://www.econbiz.de/10001745131
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Real wage behavior in the United States, Britain and Japan : an ARCH approach
Hamori, Shigeyuki; Anderson, David A. - In: Current politics and economics of Asia 9 (2000) 4, pp. 241-251
Persistent link: https://www.econbiz.de/10002040291