This paper employs three two-parameter Archimedean copulas (BB1, BB4, and BB7) to investigate dynamic asymmetric tail dependence in Asian developed futures markets over the post-crisis period. The estimation is consistent and asymptotic with a careful implementation of the two-stage method....

Stochastic dominance has been shown to be theoretically superior to mean variance (MV) analysis because it considers the entire return distribution and is based on minimally-restrictive assumptions regarding investor motives. This study uses stochastic dominance to examine whether adding...

Introducing an asymmetric DCC model for examining exchange rate correlations, and applying it to the Australian and Kiwi dollars, we show that the two currencies are more correlated during appreciations than during depreciations, consistent with the policy objective of Reserve Bank of New Zealand

This paper investigates the impacts of policy and information shocks on the correlation of the Chinese T-bond and stock returns, and to this end we propose a new version of the asymmetric Dynamic Conditional Correlation (DCC) model that allows for the coexistence of asymmetries in opposite...

This paper adds to the literature a study on the time-varying beta risk of the New Zealand industry portfolios. The previous analyses of three major modelling techniques are extended to include the stochastic volatility model and the Schwert and Seguin approach based on the stochastic volatility...

We study the impact of China's 2013 implementation of Basel III on bank risk-taking and its responses to monetary policy shocks using confidential loan-level data from a large Chinese bank. Guided by theory, we use a difference-in-difference identification, exploiting cross-sectional differences...

This study investigates the effects of economic policy uncertainty on capital structure decisions for US firms. We use all the five EPU indexes available, conduct both static and dynamic panel regression analyses, control for firm characteristics, take into account global financial episodes, and...