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Spatial linkage of volatility spillovers and its explanation across G20 stock markets : a network framework

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Persistent link: https://www.econbiz.de/10012435765

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

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Gold prices and exchange rates : a time-varying copula analysis

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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

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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

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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

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Dynamic Extremal Connectedness of Chinese Stock Market Sectors : Difference between Volatility and Uncertainty

Yang, Lu - 2022

We employ multivariate extreme value regression techniques to investigate the dynamic extremal connectedness of sectors within the Chinese stock market conditional on exogenous extreme risk. To proxy the exogenous extreme risk, we independently consider market volatility-based measures and...

Persistent link: https://www.econbiz.de/10014076408

Modeling and forecasting stock return volatility using a random level shift model

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