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A new view of risk contagion by decomposition of dependence structure : Empirical analysis of Sino-US stock markets

Zheng, Yanting; Luan, Xin; Xin, Lu; Liu, Jiaming - In: International review of financial analysis 90 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014470629

Density forecast of financial returns using decomposition and maximum entropy

Lee, Tae-hwy; Wang, He; Xi, Zhou; Zhang, Ru - In: Journal of econometric methods 12 (2023) 1, pp. 57-83

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Asymmetries in risk spillovers between currency and stock markets : evidence from the CoVaR-copula approach

Wang, Yi-Chiuan; Lai, Yi-hao; Wu, Jyh-lin - In: Review of quantitative finance and accounting 63 (2024) 3, pp. 1083-1119

Persistent link: https://www.econbiz.de/10015178475

Initial public offerings : an asset allocation decision based on nonnormal returns

Reber, Beat - In: Applied financial economics 23 (2013) 19/21, pp. 1541-1552

Persistent link: https://www.econbiz.de/10010259356

Dynamic hedging in stock index futures via copula multiplicative error model

Chen, Wen-Chin; Liu, Kai-ping; Yang, Yung-lieh; Lai, Yi-hao - In: Applied economics letters 21 (2014) 10/12, pp. 801-805

Persistent link: https://www.econbiz.de/10010416262

The pricing of portfolio credit risk

Tarashev, Nikola A.; Zhu, Haibin - 2006

Persistent link: https://www.econbiz.de/10003376553

Can asymmetric conditional volatility imply asymmetric tail dependence?

Kim, Jong-Min; Jung, Hojin - In: Economic modelling 64 (2017), pp. 409-418

Persistent link: https://www.econbiz.de/10011761287

Quantile coherency : a general measure for dependence between cyclical economic variables

Baruník, Jozef; Kley, Tobias - In: The econometrics journal 22 (2019) 2, pp. 131-152

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A goodness-of-fit test for copulas based on martingale transformation

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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

copula models. We use the normal, Student’s t, rotated Gumbel, and symmetrized Joe-Clayton (SJC) copula models to estimate … show the dynamic dependence structures among three city banks using time-varying copula. …

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