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Measuring and testing tail dependence and contagion risk between Major stock markets

Su, Ender - In: Computational economics 50 (2017) 2, pp. 325-351

Persistent link: https://www.econbiz.de/10011762384

Assessing some stylized facts about financial market indexes : a Markov copula approach

Silva Filho, Osvaldo Candido da; Ziegelmann, Flávio A. - In: Journal of economic studies 41 (2014) 2, pp. 253-271

Persistent link: https://www.econbiz.de/10010259266

Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence

Mo, Guoli; Zhang, Weiguo; Tan, Chunzhi; Liu, Xing - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-23

Persistent link: https://www.econbiz.de/10013413442

Systemic risk of commodity markets : a dynamic factor copula approach

Ouyang, Ruolan; Chen, Xiang; Fang, Yi; Zhao, Yang - In: International review of financial analysis 82 (2022), pp. 1-10

Persistent link: https://www.econbiz.de/10013431229

A model of dynamic tail dependence between crude oil prices and exchange rates

Guo, Ranran; Ye, Wuyi - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10013188337

Measuring systemic risk of the US banking sector in time-frequency domain

Teply, Petr; Kvapilikova, Ivana - In: The North American journal of economics and finance : a … 42 (2017), pp. 461-472

Persistent link: https://www.econbiz.de/10011938177

Volatility modeling and dependence structure of ESG and conventional investments

Górka, Joanna; Kuziak, Katarzyna - In: Risks : open access journal 10 (2022) 1, pp. 1-25

selected ESG indices and conventional ones and investigate dependence between them. Analysis of tail dependence is important to …, it is important to model and quantify it. The conditional volatility models from the GARCH family and tail-dependence …. Results of the research confirm the higher dependence of extreme values in the crisis period (e.g., tail-dependence values in …

Persistent link: https://www.econbiz.de/10012805838

A new tail-based correlation measure and its application in global equity markets

Liu, Jinjing - In: Journal of financial econometrics 21 (2023) 3, pp. 959-987

Persistent link: https://www.econbiz.de/10014314844

Time-varying systemic risk : evidence from a dynamic copula model of CDS spreads

Oh, Dong Hwan; Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 181-195

Persistent link: https://www.econbiz.de/10011894575

Is there dependence and systemic risk between oil and renewable energy stock prices?

Reboredo, Juan Carlos - In: Energy economics 48 (2015), pp. 32-45

Persistent link: https://www.econbiz.de/10011533695