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Nonlinear relationship between permanent and transitory components of monetary aggregates and the economy
Anderson, Richard G.; Chauvet, Marcelle; Jones, Barry E. - In: Econometric reviews 34 (2015) 1/5, pp. 228-254
Persistent link: https://www.econbiz.de/10011373295
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Empirical performance of an ESG assets portfolio from US market
Pokou, Fredy; Kamdem, Jules Sadefo; Benhmad, François - In: Computational economics 64 (2024) 3, pp. 1569-1638
Persistent link: https://www.econbiz.de/10015143946
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A regime-switching real-time copula GARCH model for optimal futures hedging
Lee, Hsiang-Tai; Lee, Chien-Chiang - In: International review of financial analysis 84 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013472897
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Predicting tail risks by a Markov switching MGARCH model with varying copula regimes
Fülle, Markus J.; Herwartz, Helmut - In: Journal of forecasting 43 (2024) 6, pp. 2163-2186
Persistent link: https://www.econbiz.de/10015110378
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Dependence in credit default swap and equity markets : dynamic copula with Markov-switching
Fei, Fei; Fuertes, Ana María; Kalotychou, Elena - In: International journal of forecasting 33 (2017) 3, pp. 662-678
Persistent link: https://www.econbiz.de/10011746197
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Does fear spill over?
Chen, Cathy Yi-hsuan - In: Asia-Pacific journal of financial studies 43 (2014) 4, pp. 465-491
Persistent link: https://www.econbiz.de/10010407449
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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
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High dimensional dynamic stochastic copula models
Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
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Predicting Tail Risks by a Markov Switching MGARCH Model with Varying Copula Regimes
Fülle, Markus J.; Herwartz, Helmut - 2022
portfolio forecasting. More specifically, we take advantage of the flexible Markov switching copula multivariate GARCH (MS …
Persistent link: https://www.econbiz.de/10013405757
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The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate
Chang, Kuang-Liang - In: Journal of international money and finance 133 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014304729