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A new dynamic mixture copula mechanism to examine the nonlinear and asymmetric tail dependence between stock and exchange rate returns

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The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate

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Dependence analysis between foreign exchange rates : a semi-parametric copula approach

Azam, Kazim - 2014

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A quantile regression approach to estimating the distribution of multiperiod returns

Taylor, James W. - In: The journal of derivatives : the official publication … 7 (1999) 1, pp. 64-78

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Currency portfolio risk measurement with generalized autoregressive conditional heteroscedastic-extreme value theory-Copula Model

Omari, Cyprian Ondieki; Mwita, Peter N.; Gichuhi, Antony W. - In: Journal of mathematical finance 8 (2018) 2, pp. 457-477

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The choice of GARCH models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil : automated processes, s...

Gohs, Andreas Marcus - 2022

Regular or automated processes require reliable software applications that provide accurate volatility and Value …

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The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies

Tian, Maoxi; El Khoury, Rim; Alshater, Muneer Maher - In: Journal of international financial markets, … 82 (2023), pp. 1-28

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Nonparametric estimation and inference for conditional density based Granger causality measures

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A model of dynamic tail dependence between crude oil prices and exchange rates

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Time varying hierarchical archimedean copulae

Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - 2010

-Gaussian dependency structures with a small number of parameters. In this paper we develop a novel adaptive estimation technique of the … ; Archimedean copula ; adaptive estimation …

Persistent link: https://www.econbiz.de/10003953027