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Dependence structures between sovereign credit default swaps and global risk factors in BRICS countries

Rikhotso, Prayer M.; Simo-Kengne, Beatrice D. - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-22

This study investigates the tail dependence structures of sovereign credit default swaps (CDSs) and three global risk factors in BRICS countries using a copula approach, which is popular for capturing the “true” tail dependence based on the “distribution-adjusted” joint marginals. The...

Persistent link: https://www.econbiz.de/10013161740

Risk, uncertainty and exchange rate behavior in South Africa

Simo-Kengne, Beatrice D.; Ababio, Kofi A.; Mba, Jules; … - In: Journal of African business 19 (2018) 2, pp. 262-278

Persistent link: https://www.econbiz.de/10011930407

Are stock prices related to the political uncertainty index in OECD countries? : evidence from the bootstrap panel causality test

Chang, Tsangyao; Chen, Wen-Yi; Gupta, Rangan; Nguyen, … - In: Economic systems 39 (2015) 2, pp. 288-300

Persistent link: https://www.econbiz.de/10011527538

The causal relationship between economic policy uncertainty and stock returns in China and India : evidence from a bootstrap rolling window approach

Li, Xiao-Lin; Balcilar, Mehmet; Gupta, Rangan; Chang, … - In: Emerging markets finance & trade : a journal of the … 52 (2016) 1/3, pp. 674-689

Persistent link: https://www.econbiz.de/10011562548

Re-Investigating the degree of persistence of U.S. economic policy uncertainty using the Fourier non-linear quantile unit root test

Peng, Yi-Ting; Chang, Tsangyao; Ranjbar, Omid - In: Applied economics 54 (2022) 39, pp. 4586-4595

Persistent link: https://www.econbiz.de/10013411001

Re-examining China and the u.s.'s respective green bond markets in extreme conditions : evidence from quantile connectedness

Wang, Mei-Chih; Jiang, Peiyun; Chang, Tsangyao - 2025

Persistent link: https://www.econbiz.de/10015359774

Analyzing the degree of persistence of economic policy uncertainty using linear and non-linear fourier quantile unit root tests

Peng, Yi-Ting; Chang, Tsangyao; Ranjbar, Omid - In: The Manchester School 90 (2022) 4, pp. 453-471

Persistent link: https://www.econbiz.de/10013275644

Economic and climate policy uncertainty, geopolitical risk and life insurance premiums in China : a quantile ARDL approach

Xiang, Feiyun; Chang, Tsangyao; Jiang, Shi-jie - In: Finance research letters 57 (2023), pp. 1-7

Persistent link: https://www.econbiz.de/10014513585

Time-varying causal impacts of the continental US weather risks on food price

Cai, Yifei; Chang, Hao Wen; Chang, Tsangyao; Țăran, … - In: Applied economics letters 31 (2024) 14, pp. 1298-1304

Persistent link: https://www.econbiz.de/10014558853

Climate uncertainty and carbon emissions prices : the relative roles of transition and physical climate risks

Ozturk, Serda Selin; Demirer, Rıza; Gupta, Rangan - In: Economics letters 217 (2022), pp. 1-6

Persistent link: https://www.econbiz.de/10013465491