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The correlation and contagion effect between us reits and Japan reits : based on the ARMAX-GJR-GARCH-copula models
Peng, Miin-yu; Lee, Wo-chiang - 2013
The article discuss the relationship between US REITs and Japan REITs. In empirical study, we apply five static ARMAX-GJR-GARCH copula models and two time-varying dynamic copula models. The results show that the kendall tau is lower before the submortgage crisis. The contagion effect test...
Persistent link: https://www.econbiz.de/10009788557
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Identifying asymmetric comovements of international stock market returns
Li, Fuchun - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 507-543
Persistent link: https://www.econbiz.de/10010391948
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Dependences and volatility spillovers between the oil and stock markets: new evidence from the copula and VAR-BEKK-GARCH models
Yu, Lean; Zha, Rui; Stafylas, Dimitrios; He, Kaijian; … - In: International review of financial analysis 68 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012301075
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Risk dependence and cointegration between pharmaceutical stock markets : the case of China and the USA
Zhou, Xinmiao; Qian, Huanhuan; Pérez Rodríguez, Jorge V. - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-19
Persistent link: https://www.econbiz.de/10012654918