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Dependence structure between the equity market and the foreign exchange market-A copula approach

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Cited by:

  1. Tian, Maoxi & El Khoury, Rim & Alshater, Muneer M., 2023. "The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 82(C).
  2. Sehgal, Sanjay & Pandey, Piyush & Diesting, Florent, 2017. "Examining dynamic currency linkages amongst South Asian economies: An empirical study," Research in International Business and Finance, Elsevier, vol. 42(C), pages 173-190.
  3. Jinan Liu & Apostolos Serletis, 2023. "Volatility and dependence in energy markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(1), pages 15-37, March.
  4. Sun, Changyou, 2013. "On the market risk of securitized timberlands," Journal of Forest Economics, Elsevier, vol. 19(2), pages 110-127.
  5. Syed Abul, Basher & Salem, Nechi & Hui, Zhu, 2014. "Dependence patterns across Gulf Arab stock markets: a copula approach," MPRA Paper 56566, University Library of Munich, Germany.
  6. Sun, Xiaolei & Liu, Chang & Wang, Jun & Li, Jianping, 2020. "Assessing the extreme risk spillovers of international commodities on maritime markets: A GARCH-Copula-CoVaR approach," International Review of Financial Analysis, Elsevier, vol. 68(C).
  7. Chen, Lin & Wen, Fenghua & Li, Wanyang & Yin, Hua & Zhao, Lili, 2022. "Extreme risk spillover of the oil, exchange rate to Chinese stock market: Evidence from implied volatility indexes," Energy Economics, Elsevier, vol. 107(C).
  8. Bouri, Elie & Gupta, Rangan & Lau, Chi Keung Marco & Roubaud, David & Wang, Shixuan, 2018. "Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 297-307.
  9. Walid, Chkili & Chaker, Aloui & Masood, Omar & Fry, John, 2011. "Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach," Emerging Markets Review, Elsevier, vol. 12(3), pages 272-292, September.
  10. Garcia-Jorcano, Laura & Benito, Sonia, 2020. "Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying," Research in International Business and Finance, Elsevier, vol. 54(C).
  11. Medovikov, Ivan, 2014. "Can analysts predict rallies better than crashes?," Finance Research Letters, Elsevier, vol. 11(4), pages 319-325.
  12. Kumar, Satish & Tiwari, Aviral Kumar & Raheem, Ibrahim Dolapo & Hille, Erik, 2021. "Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach," Resources Policy, Elsevier, vol. 72(C).
  13. Kal, Süleyman Hilmi & Arslaner, Ferhat & Arslaner, Nuran, 2015. "The dynamic relationship between stock, bond and foreign exchange markets," Economic Systems, Elsevier, vol. 39(4), pages 592-607.
  14. Caporale, Guglielmo Maria & Hunter, John & Menla Ali, Faek, 2014. "On the linkages between stock prices and exchange rates: Evidence from the banking crisis of 2007–2010," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 87-103.
  15. Reboredo, Juan C., 2012. "Modelling oil price and exchange rate co-movements," Journal of Policy Modeling, Elsevier, vol. 34(3), pages 419-440.
  16. Christos Agiakloglou & Anil Bera & Emmanouil Deligiannakis, 2022. "Evaluating measures of dependence for linearly generated nonlinear time series along with spurious correlation," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(3), pages 535-552, July.
  17. Ivan Medovikov, 2014. "When does the stock market listen to economic news? New evidence from copulas and news wires," Papers 1410.8427, arXiv.org.
  18. Li, Wei-Zhen & Zhai, Jin-Rui & Jiang, Zhi-Qiang & Wang, Gang-Jin & Zhou, Wei-Xing, 2022. "Predicting tail events in a RIA-EVT-Copula framework," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
  19. Tong, Bin & Diao, Xundi & Wu, Chongfeng, 2015. "Modeling asymmetric and dynamic dependence of overnight and daytime returns: An empirical evidence from China Banking Sector," Economic Modelling, Elsevier, vol. 51(C), pages 366-382.
  20. Chung-Shin Liu & Meng-Shiuh Chang & Ximing Wu & Chin Man Chui, 2016. "Hedges or safe havens—revisit the role of gold and USD against stock: a multivariate extended skew- copula approach," Quantitative Finance, Taylor & Francis Journals, vol. 16(11), pages 1763-1789, November.
  21. Wu, Chih-Chiang & Wu, Chang-Che, 2017. "The asymmetry in carry trade and the U.S. dollar," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 304-313.
  22. Cathy Q. Ning & Loran Chollete, 2009. "The Dependence Structure of Macroeconomic Variables in the US," Working Papers 005, Toronto Metropolitan University, Department of Economics.
  23. Jia, Fei & Shen, Yao & Ren, Junfan & Xu, Xiangyun, 2021. "The impact of offshore exchange rate expectations on onshore exchange rates: The case of Chinese RMB," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  24. Zhu, Hui-Ming & Li, Rong & Li, Sufang, 2014. "Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 208-223.
  25. Ojea-Ferreiro, Javier & Reboredo, Juan C., 2022. "Exchange rates and the global transmission of equity market shocks," Economic Modelling, Elsevier, vol. 114(C).
  26. Cumperayot, Phornchanok & Kouwenberg, Roy, 2013. "Early warning systems for currency crises: A multivariate extreme value approach," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 151-171.
  27. Ji, Qiang & Bouri, Elie & Roubaud, David & Shahzad, Syed Jawad Hussain, 2018. "Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model," Energy Economics, Elsevier, vol. 75(C), pages 14-27.
  28. Nasreldin, Osama Ahmed & Devesa, Teresa Serra, 2014. "Price volatility of food staples. The case of millet in Niger," 2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia 182728, European Association of Agricultural Economists.
  29. Dimic, Nebojsa & Piljak, Vanja & Swinkels, Laurens & Vulanovic, Milos, 2021. "The structure and degree of dependence in government bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  30. Aloui, Riadh & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2013. "A time-varying copula approach to oil and stock market dependence: The case of transition economies," Energy Economics, Elsevier, vol. 39(C), pages 208-221.
  31. Wen, Xiaoqian & Cheng, Hua, 2018. "Which is the safe haven for emerging stock markets, gold or the US dollar?," Emerging Markets Review, Elsevier, vol. 35(C), pages 69-90.
  32. Lee, Chien-Chiang & Chen, Mei-Ping & Chang, Chi-Hung, 2014. "Industry co-movement and cross-listing: Do home country factors matter?," Japan and the World Economy, Elsevier, vol. 32(C), pages 96-110.
  33. Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014. "Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management," Energy Economics, Elsevier, vol. 42(C), pages 332-342.
  34. Ning, Cathy & Xu, Dinghai & Wirjanto, Tony S., 2015. "Is volatility clustering of asset returns asymmetric?," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 62-76.
  35. Chang‐Che Wu & MeiChi Huang & Chih‐Chiang Wu, 2021. "The role of asymmetry and dynamics in carry trade and general financial markets," The Financial Review, Eastern Finance Association, vol. 56(2), pages 331-353, May.
  36. Chollete, Loran & Pena, Victor de la & Lu, Ching-Chih, 2009. "International Diversification: A Copula Approach," UiS Working Papers in Economics and Finance 2009/27, University of Stavanger.
  37. Wu, Chih-Chiang & Chiu, Junmao, 2017. "Economic evaluation of asymmetric and price range information in gold and general financial markets," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 53-68.
  38. Delatte, Anne-Laure & Lopez, Claude, 2013. "Commodity and equity markets: Some stylized facts from a copula approach," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5346-5356.
  39. Tachibana, Minoru, 2018. "Relationship between stock and currency markets conditional on the US stock returns: A vine copula approach," Journal of Multinational Financial Management, Elsevier, vol. 46(C), pages 75-106.
  40. Mork, Knut Anton & Trønnes, Haakon Andreas, 2023. "Expected long-term rates of return when short-term returns are serially correlated," International Review of Financial Analysis, Elsevier, vol. 88(C).
  41. Al Janabi, Mazin A.M. & Ferrer, Román & Shahzad, Syed Jawad Hussain, 2019. "Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  42. BenSaïda, Ahmed, 2018. "The contagion effect in European sovereign debt markets: A regime-switching vine copula approach," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 153-165.
  43. repec:mth:ijafr8:v:9:y:2019:i:1:p:414-431 is not listed on IDEAS
  44. Sanjay Sehgal & Piyush Pandey & Florent Deisting, 2018. "Stock Market Integration Dynamics and its Determinants in the East Asian Economic Community Region," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 16(2), pages 389-425, June.
  45. Anubha Goel & Aparna Mehra, 2019. "Analyzing Contagion Effect in Markets During Financial Crisis Using Stochastic Autoregressive Canonical Vine Model," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 921-950, March.
  46. Han, Xuyuan & Liu, Zhenya & Wang, Shixuan, 2022. "An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting," Journal of Commodity Markets, Elsevier, vol. 25(C).
  47. Delatte, Anne-Laure & Lopez, Claude, 2013. "Commodity and equity markets: Some stylized facts from a copula approach," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5346-5356.
  48. Anatolyev, Stanislav & Pyrlik, Vladimir, 2022. "Copula shrinkage and portfolio allocation in ultra-high dimensions," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
  49. Wang, Yi-Chiuan & Wu, Jyh-Lin & Lai, Yi-Hao, 2013. "A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1706-1719.
  50. Bing-Yue Liu & Qiang Ji & Ying Fan, 2017. "A new time-varying optimal copula model identifying the dependence across markets," Quantitative Finance, Taylor & Francis Journals, vol. 17(3), pages 437-453, March.
  51. Polanski, Arnold & Stoja, Evarist, 2014. "Co-dependence of extreme events in high frequency FX returns," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 164-178.
  52. Zhang, Yi & Zhou, Long & Wu, Baoxiu & Liu, Fang, 2024. "Tail risk transmission from the United States to emerging stock Markets: Empirical evidence from multivariate quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
  53. Aloui, Riadh & Gupta, Rangan & Miller, Stephen M., 2016. "Uncertainty and crude oil returns," Energy Economics, Elsevier, vol. 55(C), pages 92-100.
  54. Cathy Ning & Wanling Huang, 2018. "Is the potential for inter- and intro- continental diversification disappearing? A vine copula approach," Working Papers 092, Toronto Metropolitan University, Department of Economics.
  55. Hashim, Khairul Khairiah & Masih, Mansur, 2015. "Stock market volatility and exchange rates: MGARCH-DCC and wavelet approaches," MPRA Paper 65234, University Library of Munich, Germany.
  56. Chollete, Loran & Ning, Cathy, 2012. "Asymmetric Dependence in the US Economy: Application to Money and the Phillips Curve," UiS Working Papers in Economics and Finance 2012/1, University of Stavanger.
  57. Kim, Jong-Min & Kim, Dong H. & Jung, Hojin, 2020. "Modeling non-normal corporate bond yield spreads by copula," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  58. Çekin, Semih Emre & Pradhan, Ashis Kumar & Tiwari, Aviral Kumar & Gupta, Rangan, 2020. "Measuring co-dependencies of economic policy uncertainty in Latin American countries using vine copulas," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 207-217.
  59. Guangxi Cao, 2012. "Time-Varying Effects of Changes in the Interest Rate and the RMB Exchange Rate on the Stock Market of China: Evidence from the Long-Memory TVP-VAR Model," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(0), pages 230-248, July.
  60. Xingxing He & Korhan K. Gokmenoglu & Dervis Kirikkaleli & Syed Kumail Abbas Rizvi, 2023. "Co‐movement of foreign exchange rate returns and stock market returns in an emerging market: Evidence from the wavelet coherence approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1994-2005, April.
  61. Liao, Jia & Qian, Qi & Xu, Xiangyun, 2018. "Whether the fluctuation of China’s financial markets have impact on global commodity prices?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1030-1040.
  62. Kuang-Liang Chang, 2021. "A New Dynamic Mixture Copula Mechanism to Examine the Nonlinear and Asymmetric Tail Dependence Between Stock and Exchange Rate Returns," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 965-999, December.
  63. I. Medovikov S. & И. Медовиков С., 2019. "Могут ли фондовые аналитики предсказать рыночный риск? Новые сведения из теории копулы // Can Stock Analysts Predict Market Risk? New Evidence from Copula Theory," Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice, ФГОБУВО Финансовый университет при Правительстве Российской Федерации // Financial University under The Government of Russian Federation, vol. 23(1), pages 38-48.
  64. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2012. "International diversification: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 871-885.
  65. Laih, Yih-Wenn, 2014. "Measuring rank correlation coefficients between financial time series: A GARCH-copula based sequence alignment algorithm," European Journal of Operational Research, Elsevier, vol. 232(2), pages 375-382.
  66. Ülkü, Numan & Demirci, Ebru, 2012. "Joint dynamics of foreign exchange and stock markets in emerging Europe," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 55-86.
  67. Stanislav Anatolyev & Vladimir Pyrlik, 2021. "Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions," CERGE-EI Working Papers wp699, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  68. Bai, Xiwen, 2021. "Tanker freight rates and economic policy uncertainty: A wavelet-based copula approach," Energy, Elsevier, vol. 235(C).
  69. Chao Xu & Jinchuan Ke & Xiaojun Zhao & Xiaofang Zhao, 2020. "Multiscale Quantile Correlation Coefficient: Measuring Tail Dependence of Financial Time Series," Sustainability, MDPI, vol. 12(12), pages 1-24, June.
  70. Tachibana, Minoru, 2018. "Safe-haven and hedge currencies for the US, UK, and Euro area stock markets: A copula-based approach," Global Finance Journal, Elsevier, vol. 35(C), pages 82-96.
  71. Medovikov, Ivan, 2016. "When does the stock market listen to economic news? New evidence from copulas and news wires," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 27-40.
  72. Irena Vodenska & Alexander P. Becker & Di Zhou & Dror Y. Kenett & H. Eugene Stanley & Shlomo Havlin, 2016. "Community Analysis of Global Financial Markets," Risks, MDPI, vol. 4(2), pages 1-15, May.
  73. Reboredo, Juan C. & Rivera-Castro, Miguel A. & Ugolini, Andrea, 2016. "Downside and upside risk spillovers between exchange rates and stock prices," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 76-96.
  74. Yutaka Kurihara & Akio Fukushima & Shinichiro Maeda, 2020. "Can Bitcoin’S Price Be A Predictor Of Stock Prices?," Noble International Journal of Economics and Financial Research, Noble Academic Publsiher, vol. 5(4), pages 50-55, April.
  75. Tiwari, Aviral Kumar & Nasreen, Samia & Hammoudeh, Shawkat & Selmi, Refk, 2021. "Dynamic dependence of oil, clean energy and the role of technology companies: New evidence from copulas with regime switching," Energy, Elsevier, vol. 220(C).
  76. Wan, Li & Han, Liyan & Xu, Yang & Matousek, Roman, 2021. "Dynamic linkage between the Chinese and global stock markets: A normal mixture approach," Emerging Markets Review, Elsevier, vol. 49(C).
  77. Reboredo, Juan C., 2011. "How do crude oil prices co-move?: A copula approach," Energy Economics, Elsevier, vol. 33(5), pages 948-955, September.
  78. Aviral Kumar Tiwari & Sangram Keshari Jena & Satish Kumar & Erik Hille, 2022. "Is oil price risk systemic to sectoral equity markets of an oil importing country? Evidence from a dependence-switching copula delta CoVaR approach," Annals of Operations Research, Springer, vol. 315(1), pages 429-461, August.
  79. Ying-Ying Shen & Zhi-Qiang Jiang & Jun-Chao Ma & Gang-Jin Wang & Wei-Xing Zhou, 2022. "Sector connectedness in the Chinese stock markets," Empirical Economics, Springer, vol. 62(2), pages 825-852, February.
  80. Reboredo, Juan C., 2012. "Do food and oil prices co-move?," Energy Policy, Elsevier, vol. 49(C), pages 456-467.
  81. David E. Allen, 2022. "Cryptocurrencies, Diversification and the COVID-19 Pandemic," JRFM, MDPI, vol. 15(3), pages 1-25, February.
  82. Murad A. BEIN & Gulcay TUNA, 2016. "Comparing Spillover Effects Among Emerging Markets With A Higher (Lower) Share Of Commodity Exports: Evidence From The Two Major Crises," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(3), pages 265-284.
  83. Muteba Mwamba, John & Mokwena, Paula, 2013. "International diversification and dependence structure of equity portfolios during market crashes: the Archimedean copula approach," MPRA Paper 64384, University Library of Munich, Germany.
  84. Mei Qiu & Pinfold & Rose, 2015. "A currency preferential approach to international equity investment," Applied Economics, Taylor & Francis Journals, vol. 47(49), pages 5247-5261, October.
  85. Chollete, Lorán & de la Peña, Victor & Lu, Ching-Chih, 2011. "International diversification: A copula approach," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 403-417, February.
  86. Lee, Chien-Chiang & Chang, Chi-Hung & Chen, Mei-Ping, 2015. "Industry co-movements of American depository receipts: Evidences from the copula approaches," Economic Modelling, Elsevier, vol. 46(C), pages 301-314.
  87. Charfeddine, Lanouar & Benlagha, Noureddine, 2016. "A time-varying copula approach for modelling dependency: New evidence from commodity and stock markets," Journal of Multinational Financial Management, Elsevier, vol. 37, pages 168-189.
  88. Rakesh Gupta & Junhao Yang & Thadavillil Jithendranathan, 2017. "Diversification into Emerging Markets – An Australian and the US Perspective Using a Time-varying Approach," Australian Economic Papers, Wiley Blackwell, vol. 56(2), pages 134-162, June.
  89. Rakesh K. Bissoondeeal & Leonidas Tsiaras, 2023. "Investigating the Links between UK House Prices and Share Prices with Copulas," The Journal of Real Estate Finance and Economics, Springer, vol. 67(3), pages 423-452, October.
  90. Fernando F. Moreira, 2010. "Copula‐Based Formulas to Estimate Unexpected Credit Losses (The Future of Basel Accords?)," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 19(5), pages 381-404, December.
  91. Adlane Haffar & Éric Le Fur, 2022. "Dependence structure of CAT bonds and portfolio diversification: a copula-GARCH approach," Journal of Asset Management, Palgrave Macmillan, vol. 23(4), pages 297-309, July.
  92. Ponrajah, Jeremey & Ning, Cathy, 2023. "Stock–bond dependence and flight to/from quality," International Review of Financial Analysis, Elsevier, vol. 86(C).
  93. Rehman, Mobeen Ur & Katsiampa, Paraskevi & Zeitun, Rami & Vo, Xuan Vinh, 2023. "Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies," Emerging Markets Review, Elsevier, vol. 55(C).
  94. Hammami, Algia & Ghenimi, Ameni & Bouri, Abdelfatteh, 2019. "Oil prices, US exchange rates, and stock market: evidence from Jordan as a net oil importer," MPRA Paper 94570, University Library of Munich, Germany.
  95. Albulescu, Claudiu Tiberiu & Aubin, Christian & Goyeau, Daniel & Tiwari, Aviral Kumar, 2018. "Extreme co-movements and dependencies among major international exchange rates: A copula approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 56-69.
  96. Wu, Chih-Chiang & Chen, Wei-Peng & Korsakul, Nattawadee, 2021. "Extreme linkages between foreign exchange and general financial markets," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
  97. Chollete, Loran & de la Pena , Victor & Lu, Ching-Chih, 2009. "International Diversification: An Extreme Value Approach," UiS Working Papers in Economics and Finance 2009/26, University of Stavanger.
  98. Bathia, Deven & Demirer, Riza & Ferrer, Román & Raheem, Ibrahim D., 2023. "Cross-border capital flows and information spillovers across the equity and currency markets in emerging economies," Journal of International Money and Finance, Elsevier, vol. 139(C).
  99. Chen, Wang & Wei, Yu & Lang, Qiaoqi & Lin, Yu & Liu, Maojuan, 2014. "Financial market volatility and contagion effect: A copula–multifractal volatility approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 289-300.
  100. Yi-Chiuan Wang & Yi-hao Lai & Jyh-Lin Wu, 2024. "Asymmetries in risk spillovers between currency and stock markets: Evidence from the CoVaR-copula approach," Review of Quantitative Finance and Accounting, Springer, vol. 63(3), pages 1083-1119, October.
  101. Lin, Feng & Peng, Liang & Xie, Jiehua & Yang, Jingping, 2018. "Stochastic distortion and its transformed copula," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 148-166.
  102. Davood Pirayesh Neghab & Mucahit Cevik & M. I. M. Wahab, 2023. "Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning," Papers 2303.16149, arXiv.org.
  103. Rajan Sruthi & Santhakumar Shijin, 2020. "Investigating liquidity constraints as a channel of contagion: a regime switching approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-21, December.
  104. Raza, Hamid & Wu, Weiou, 2018. "Quantile dependence between the stock, bond and foreign exchange markets – Evidence from the UK," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 286-296.
  105. Boako, Gideon & Alagidede, Paul, 2017. "Currency price risk and stock market returns in Africa: Dependence and downside spillover effects with stochastic copulas," Journal of Multinational Financial Management, Elsevier, vol. 41(C), pages 92-114.
  106. Ahmed BenSaïda, 2023. "The linkage between Bitcoin and foreign exchanges in developed and emerging markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-27, December.
  107. Kotkatvuori-Örnberg, Juha, 2016. "Dynamic conditional copula correlation and optimal hedge ratios with currency futures," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 60-69.
  108. Irena Vodenska & Hideaki Aoyama & Yoshi Fujiwara & Hiroshi Iyetomi & Yuta Arai, 2016. "Interdependencies and Causalities in Coupled Financial Networks," PLOS ONE, Public Library of Science, vol. 11(3), pages 1-32, March.
  109. Dirk G Baur & Isaac Miyakawa, 2013. "International Investors, Exchange Rates and Equity Prices," Working Paper Series 178, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  110. Chollete, Loran & Ning, Cathy, 2010. "Asymmetric Dependence in US Financial Risk Factors?," UiS Working Papers in Economics and Finance 2011/2, University of Stavanger.
  111. Tiwari, Aviral Kumar & Adewuyi, Adeolu O. & Albulescu, Claudiu T. & Wohar, Mark E., 2020. "Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  112. Kumar, Satish & Tiwari, Aviral Kumar & Chauhan, Yogesh & Ji, Qiang, 2019. "Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 273-284.
  113. Ma, Xiuying & Yang, Zhihua & Xu, Xiangyun & Wang, Chengqi, 2018. "The impact of Chinese financial markets on commodity currency exchange rates," Global Finance Journal, Elsevier, vol. 37(C), pages 186-198.
  114. Crook, Jonathan & Moreira, Fernando, 2011. "Checking for asymmetric default dependence in a credit card portfolio: A copula approach," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 728-742, September.
  115. Amir T. Payandeh Najafabadi & Marjan Qazvini & Reza Ofoghi, 2020. "The Impact of Oil and Gold Prices Shock on Tehran Stock Exchange: A Copula Approach," Papers 2001.11275, arXiv.org.
  116. Chen, Wei-Peng & Choudhry, Taufiq & Wu, Chih-Chiang, 2013. "The extreme value in crude oil and US dollar markets," Journal of International Money and Finance, Elsevier, vol. 36(C), pages 191-210.
  117. Tong, Bin & Wu, Chongfeng & Zhou, Chunyang, 2013. "Modeling the co-movements between crude oil and refined petroleum markets," Energy Economics, Elsevier, vol. 40(C), pages 882-897.
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