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Diversification evidence from international equity markets using extreme values and stochastic copulas

Bhatti, Muhammad Ishaq; Nguyen, Cuong - In: Journal of international financial markets, … 22 (2012) 3, pp. 622-646

Persistent link: https://www.econbiz.de/10009623538

Yang, Bingduo; Cai, Zongwu; Hafner, Christian M.; Liu, … - 2018

Persistent link: https://www.econbiz.de/10011965829

Uncertainties and extreme risk spillover in the energy markets : a time-varying copula-based CoVaR approach

Ji, Qiang; Liu, Bing-Yue; Nehler, Henrik; Uddin, … - In: Energy economics 76 (2018), pp. 115-126

Persistent link: https://www.econbiz.de/10011976598

Risk correlation based on time-varying copula function and extreme value theory

Ji, Xinlong; Zhou, Lu - In: Theoretical economics letters 7 (2017) 7, pp. 2213-2229

Persistent link: https://www.econbiz.de/10011786009

Measuring systemic risk with a dynamic copula-based approach

Jang, Hyun Jin; Pan, Xiao; Park, Sumin - In: Applied economics 53 (2021) 50, pp. 5843-5863

Persistent link: https://www.econbiz.de/10012627102

Stock market returns and oil price shocks : a CoVaR analysis based on dynamic vine copula models

Kielmann, Julia; Manner, Hans; Min, Aleksey - 2021

Persistent link: https://www.econbiz.de/10012503368

Stock market returns and oil price shocks : a CoVaR analysis based on dynamic vine copula models

Kielmann, Julia; Manner, Hans; Min, Aleksey - In: Empirical economics : a quarterly journal of the … 62 (2022) 4, pp. 1543-1574

Persistent link: https://www.econbiz.de/10013197238

The impact of global financial crisis on the dependence structure of equity markets and on risk management

Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International journal of managerial and financial accounting 5 (2013) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10009730450

Testing the Gaussian and Student's t copulas in a risk management framework

Lourme, Alexandre; Maurer, Frantz - In: Economic modelling 67 (2017), pp. 203-214

Persistent link: https://www.econbiz.de/10011813813

Copulas and portfolios in the electric vehicle sector

Stenšin, Andrej; Bloznelis, Daumantas - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-20

How can investors unlock the returns on the electric vehicle industry? Available investment choices range from individual stocks to exchange traded funds. We select six representative assets and characterize the time-varying joint distribution of their returns by copula-GARCH models. They...

Persistent link: https://www.econbiz.de/10013164959