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Time-varying asymmetric tail dependence of international equities markets

Zhou, Chunyang; Qin, Xiao - In: Pacific-Basin finance journal 68 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013332425

Time-Varying Asymmetric Tail Dependence of International Equities Markets

Zhou, Chunyang; Qin, Xiao - 2022

In this paper, we use the skewed t copula with a DCC (Dynamic Conditional Correlation) model to capture the time-varying asymmetric tail dependence among MSCI US, Europe and Emerging markets. The empirical results show that it is important to take account of asymmetric tail dependence when...

Persistent link: https://www.econbiz.de/10014239631

Efficiency of crude oil futures markets : new evidence from multifractal detrending moving average analysis

Wang, Yudong; Wu, Chongfeng - In: Computational economics 42 (2013) 4, pp. 393-414

Persistent link: https://www.econbiz.de/10010249882

Forecasting energy market volatility using GARCH models : can multivariate models beat univariate models?

Wang, Yudong; Wu, Chongfeng - In: Energy economics 34 (2012) 6, pp. 2167-2181

Persistent link: https://www.econbiz.de/10009688795

What can we learn from the history of gasoline crack spreads? : long memory, structural breaks and modeling implications

Wang, Yudong; Wu, Chongfeng - In: Economic modelling 29 (2012) 2, pp. 349-360

Persistent link: https://www.econbiz.de/10009536826

Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models

Wang, Yudong; Liu, Li; Wu, Chongfeng - In: Energy economics 66 (2017), pp. 337-348

Persistent link: https://www.econbiz.de/10011896505

Forecasting crude oil market volatility : a Markov switching multifractal volatility approach

Wang, Yudong; Wu, Chongfeng; Li, Yang - In: International journal of forecasting 32 (2016) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10011596312

Forecasting realized volatility in a changing world : a dynamic model averaging approach

Wang, Yudong; Ma, Feng; Wei, Yu; Wu, Chongfeng - In: Journal of banking & finance 64 (2016), pp. 136-149

Persistent link: https://www.econbiz.de/10011634282

Oil price volatility and macroeconomic fundamentals : a regime switching GARCH-MIDAS model

Pan, Zhiyuan; Wang, Yudong; Wu, Chongfeng; Yin, Libo - In: Journal of empirical finance 43 (2017), pp. 130-142

Persistent link: https://www.econbiz.de/10011817944

Time‐varying parameter realized volatility models

Wang, Yudong; Pan, Zhiyuan; Wu, Chongfeng - In: Journal of forecasting 36 (2017) 5, pp. 566-580

Persistent link: https://www.econbiz.de/10011860698