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Dynamic alpha-stable method for CDO pricing

Li, Hua; Yuan, George; Chen, Weina; Guo, Li; Zhao, Jianbin - In: Journal of financial engineering 1 (2014) 3, pp. 1-16

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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...

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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

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Dependence patterns among Asian banking sector stocks : a copula approach

Mensah, Jones Odei; Premaratne, Gamini - In: Research in international business and finance 41 (2017), pp. 516-546

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What forces drive the dynamic interaction between regional housing prices?

Wu, Yun-Ling; Lu, Chien-Lin; Chen, Ming-Chi; Chu, Fang-Ni - In: International journal of strategic property management 21 (2017) 3, pp. 225-239

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Dynamic conditional copula correlation and optimal hedge ratios with currency futures

Kotkatvuori-Örnberg, Juha - In: International review of financial analysis 47 (2016), pp. 60-69

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Dependence patterns among Asian banking sector stocks : a copula approach

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Persistent link: https://www.econbiz.de/10011983291