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Time-varying dependence between stock and government bond returns : international evidence with dynamic copulas
Jammazi, Rania; Tiwari, Aviral Kumar; Ferrer, Román; … - In: The North American journal of economics and finance : a … 33 (2015), pp. 74-93
Persistent link: https://www.econbiz.de/10011534370
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The application of multivariate GARCH models to turbulent financial markets
Zahnd, Edy - 2002 - Als Ms. gedr.
Persistent link: https://www.econbiz.de/10001659873
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The Copula-GARCH model of conditional dependencies : an international stock market application
Jondeau, Eric; Rockinger, Michael - In: Journal of international money and finance 25 (2006) 5, pp. 827-853
Persistent link: https://www.econbiz.de/10003405036
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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
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Quantile dependence of oil price movements and stock returns
Reboredo, Juan Carlos; Ugolini, Andrea - In: Energy economics 54 (2016), pp. 33-49
Persistent link: https://www.econbiz.de/10011662726
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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
financial investments has been debated in the literature. In this study, we compare the volatility of rates of return of …, it is important to model and quantify it. The conditional volatility models from the GARCH family and tail …
Persistent link: https://www.econbiz.de/10012805838
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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
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A model of price correlations between clean energy indices and energy commodities
Kanamura, Takashi - In: Journal of sustainable finance & investment 12 (2022) 2, pp. 319-359
Persistent link: https://www.econbiz.de/10013177366
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The time-varying and asymmetric dependence between crude oil spot and futures markets : evidence from the mixture copula-based ARJI-GARCH model
Chang, Kuang-liang - In: Economic modelling 29 (2012) 6, pp. 2298-2309
Persistent link: https://www.econbiz.de/10009673749
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Modeling dependency of crude oil price and agricultural commodity prices : a pairwise copulas approach
Boonyanuphong, Phattanan; Songsak Sriboonchitta; … - In: Uncertainty analysis in econometrics with applications …, (pp. 255-267). 2013
Persistent link: https://www.econbiz.de/10009711143