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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

Dependence structure between CEEC-3 and German government securities markets

Yang, Lu; Hamori, Shigeyuki - In: Journal of international financial markets, … 29 (2014), pp. 109-125

Persistent link: https://www.econbiz.de/10010411545

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

The conditional dependence structure of insurance sector credit default swap indices

Tamakoshi, Go; Hamori, Shigeyuki - In: The North American journal of economics and finance : a … 30 (2014), pp. 122-132

Persistent link: https://www.econbiz.de/10010463549

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

Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries

Yang, Lu; Yang, Lei; Hamori, Shigeyuki - In: International review of financial analysis 59 (2018), pp. 19-34

Persistent link: https://www.econbiz.de/10012006896

Can BRICS's currency be a hedge or a safe haven for energy portfolio? : an evidence from vine copula approach

He, Yijin; Nakajima, Tadahiro; Hamori, Shigeyuki - In: The Singapore economic review : journal of the Economic … 65 (2020) 4, pp. 805-836

Persistent link: https://www.econbiz.de/10012509267

Dependence structures and risk spillover in China's credit bond market : a copula and CoVaR approach

Yang, Lu; Yang, Lei; Ho, Kung-Cheng; Hamori, Shigeyuki - In: Journal of Asian economics 68 (2020)

Persistent link: https://www.econbiz.de/10012513082

Modeling the dependence structure of share prices among three Chinese city banks

Liu, Guizhou; Cai, Xiao Jing; Hamori, Shigeyuki - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-18

We study the dependence structure of share price returns among the Beijing Bank, Ningbo Bank, and Nanjing Bank using copula models. We use the normal, Student’s t, rotated Gumbel, and symmetrized Joe-Clayton (SJC) copula models to estimate the underlying dependence structure in two periods:...

Persistent link: https://www.econbiz.de/10011961448

Conditional dependence between oil prices and exchange rates in BRICS countries : an application of the copula-GARCH model

He, Yijin; Hamori, Shigeyuki - In: Journal of risk and financial management : JRFM 12 (2019) 2/99, pp. 1-25

We studied the dependence structure between West Texas Intermediate (WTI) oil prices and the exchange rates of BRICS1 countries, using copula models. We used the Normal, Plackett, rotated-Gumbel, and Student's t copulas to measure the constant dependence, and we captured the dynamic dependence...

Persistent link: https://www.econbiz.de/10012021992