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Dependence patterns across financial markets: a mixed copula approach

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Cited by:

  1. Guobin Fan & Eric Girardin & Wong K. Wong & Yong Zeng, 2015. "The Risk of Individual Stocks’ Tail Dependence with the Market and Its Effect on Stock Returns," Discrete Dynamics in Nature and Society, Hindawi, vol. 2015, pages 1-17, November.
  2. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2017. "Specification Testing in Hawkes Models," Journal of Financial Econometrics, Oxford University Press, vol. 15(1), pages 139-171.
  3. Yao, Xiaoyang & Le, Wei & Sun, Xiaolei & Li, Jianping, 2020. "Financial stress dynamics in China: An interconnectedness perspective," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 217-238.
  4. Ning, Cathy & Wirjanto, Tony S., 2009. "Extreme return-volume dependence in East-Asian stock markets: A copula approach," Finance Research Letters, Elsevier, vol. 6(4), pages 202-209, December.
  5. Liu, Bing-Yue & Ji, Qiang & Fan, Ying, 2017. "Dynamic return-volatility dependence and risk measure of CoVaR in the oil market: A time-varying mixed copula model," Energy Economics, Elsevier, vol. 68(C), pages 53-65.
  6. Berrisch, Jonathan & Pappert, Sven & Ziel, Florian & Arsova, Antonia, 2023. "Modeling volatility and dependence of European carbon and energy prices," Finance Research Letters, Elsevier, vol. 52(C).
  7. Jianping Li & Xiaoqian Zhu & Cheng-Few Lee & Dengsheng Wu & Jichuang Feng & Yong Shi, 2015. "On the aggregation of credit, market and operational risks," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 161-189, January.
  8. 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.
  9. Saiful Izzuan Hussain & Steven Li, 2018. "The dynamic dependence between stock markets in the greater China economic area: a study based on extreme values and copulas," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(2), pages 207-233, May.
  10. Nagler, Thomas & Krüger, Daniel & Min, Aleksey, 2022. "Stationary vine copula models for multivariate time series," Journal of Econometrics, Elsevier, vol. 227(2), pages 305-324.
  11. Su, EnDer, 2014. "Measuring Contagion Risk in High Volatility State between Major Banks in Taiwan by Threshold Copula GARCH Model," MPRA Paper 58161, University Library of Munich, Germany.
  12. Jin, Xiaoye, 2016. "The impact of 2008 financial crisis on the efficiency and contagion of Asian stock markets: A Hurst exponent approach," Finance Research Letters, Elsevier, vol. 17(C), pages 167-175.
  13. Jayech, Selma, 2016. "The contagion channels of July–August-2011 stock market crash: A DAG-copula based approach," European Journal of Operational Research, Elsevier, vol. 249(2), pages 631-646.
  14. Liu, Yan & Luger, Richard, 2009. "Efficient estimation of copula-GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2284-2297, April.
  15. Zubair Munawwara, 2024. "Impact Of Crude Oil Price Volatility On Indian Stock Market Returns: A Quantile Regression Approach," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 69(242), pages 93-128, July – Se.
  16. Matkovskyy, Roman, 2019. "Centralized and decentralized bitcoin markets: Euro vs USD vs GBP," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 270-279.
  17. Braekers, Roel & Van Keilegom, Ingrid, 2009. "Flexible modeling based on copulas in nonparametric median regression," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1270-1281, July.
  18. Yang Li & Fan Wang & Ye Shen & Yichen Qin & Jiesheng Si, 2022. "Selection of mixed copula for association modeling with tied observations," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(5), pages 1127-1180, December.
  19. Albulescu, Claudiu Tiberiu & Tiwari, Aviral Kumar & Ji, Qiang, 2020. "Copula-based local dependence among energy, agriculture and metal commodities markets," Energy, Elsevier, vol. 202(C).
  20. Joe-Ming Lee, 2013. "Measuring the Mutual Fund Industry Risk Management and Performance Sustainability - Quantile Regression Model," Journal of Asian Business Strategy, Asian Economic and Social Society, vol. 3(4), pages 59-68, April.
  21. Zongwu Cai & Xian Wang, 2014. "Selection of Mixed Copula Model via Penalized Likelihood," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(506), pages 788-801, June.
  22. Zhu, Bo & Lin, Renda & Deng, Yuanyue & Chen, Pingshe & Chevallier, Julien, 2021. "Intersectoral systemic risk spillovers between energy and agriculture under the financial and COVID-19 crises," Economic Modelling, Elsevier, vol. 105(C).
  23. Wahbeeah Mohti & Andreia Dionísio & Paulo Ferreira & Isabel Vieira, 2019. "Contagion of the Subprime Financial Crisis on Frontier Stock Markets: A Copula Analysis," Economies, MDPI, vol. 7(1), pages 1-14, February.
  24. Göran Kauermann & Renate Meyer, 2014. "Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas," Computational Statistics, Springer, vol. 29(1), pages 283-306, February.
  25. Claudiu Albulescu & Aviral Tiwari & Qiang Ji, 2020. "Copula-based local dependence between energy, agriculture and metal commodity markets," Papers 2003.04007, arXiv.org.
  26. Karmakar, Madhusudan, 2017. "Dependence structure and portfolio risk in Indian foreign exchange market: A GARCH-EVT-Copula approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 64(C), pages 275-291.
  27. Zhe Yan & Zhiping Chen & Giorgio Consigli & Jia Liu & Ming Jin, 2020. "A copula-based scenario tree generation algorithm for multiperiod portfolio selection problems," Annals of Operations Research, Springer, vol. 292(2), pages 849-881, September.
  28. Ariel M. Viale & David A. Bessler & James W. Kolari, 2014. "On the Structure of Financial Contagion: Econometric Tests and Mercosur Evidence," Journal of Applied Economics, Taylor & Francis Journals, vol. 17(2), pages 373-400, November.
  29. Hayette Gatfaoui, 2010. "Investigating the dependence structure between credit default swap spreads and the U.S. financial market," Annals of Finance, Springer, vol. 6(4), pages 511-535, October.
  30. Zhu, Pengfei & Lu, Tuantuan & Shang, Yue & Zhang, Zerong & Wei, Yu, 2023. "Can China's national carbon trading market hedge the risks of light and medium crude oil? A comparative analysis with the European carbon market," Finance Research Letters, Elsevier, vol. 58(PA).
  31. Hendriks, Johannes Jurgens & Bonga-Bonga, Lumengo, 2020. "Sectoral dependence and contagion in the BRICS grouping: an application of the R-Vine copulas," MPRA Paper 102473, University Library of Munich, Germany.
  32. Nguyen, Cuong & Bhatti, M. Ishaq & Komorníková, Magda & Komorník, Jozef, 2016. "Gold price and stock markets nexus under mixed-copulas," Economic Modelling, Elsevier, vol. 58(C), pages 283-292.
  33. Burda Martin & Bélisle Louis, 2019. "Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo," Dependence Modeling, De Gruyter, vol. 7(1), pages 133-149, January.
  34. Baur, Dirk G., 2013. "The structure and degree of dependence: A quantile regression approach," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 786-798.
  35. Das, Debojyoti & Kannadhasan, M., 2020. "The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 563-581.
  36. Sim, Nicholas, 2016. "Modeling the dependence structures of financial assets through the Copula Quantile-on-Quantile approach," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 31-45.
  37. Yousaf, Imran & Jareño, Francisco & Esparcia, Carlos, 2022. "Tail connectedness between lending/borrowing tokens and commercial bank stocks," International Review of Financial Analysis, Elsevier, vol. 84(C).
  38. Mathias Mandla Manguzvane & John Weirstrass Muteba Mwamba, 2020. "GAS Copula models on who’s systemically important in South Africa: Banks or Insurers?," Empirical Economics, Springer, vol. 59(4), pages 1573-1604, October.
  39. Azimli, Asil, 2020. "The impact of COVID-19 on the degree of dependence and structure of risk-return relationship: A quantile regression approach," Finance Research Letters, Elsevier, vol. 36(C).
  40. Janani Sri S. & Parthajit Kayal & G. Balasubramanian, 2022. "Can Equity be Safe-haven for Investment?," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 21(1), pages 32-63, March.
  41. Jareño, Francisco & Yousaf, Imran, 2023. "Artificial intelligence-based tokens: Fresh evidence of connectedness with artificial intelligence-based equities," International Review of Financial Analysis, Elsevier, vol. 89(C).
  42. Kai Ma & Shubing Hu & Jie Yang & Chunxia Dou & Josep M. Guerrero, 2017. "Energy Trading and Pricing in Microgrids with Uncertain Energy Supply: A Three-Stage Hierarchical Game Approach," Energies, MDPI, vol. 10(5), pages 1-16, May.
  43. Zhang, Yuanyuan & Chan, Stephen & Chu, Jeffrey & Nadarajah, Saralees, 2019. "Stylised facts for high frequency cryptocurrency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 598-612.
  44. Abdalla Alfaki, Ibrahim M. & El Anshasy, Amany A., 2022. "Oil rents, diversification and growth: Is there asymmetric dependence? A copula-based inquiry," Resources Policy, Elsevier, vol. 75(C).
  45. Weiß, Gregor N.F. & Scheffer, Marcus, 2015. "Mixture pair-copula-constructions," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 175-191.
  46. Alexeev Vitali & Ignatieva Katja & Liyanage Thusitha, 2021. "Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(2), pages 1-20, April.
  47. Wuyi Ye & Kebing Luo & Shaofu Du, 2014. "Measuring Contagion of Subprime Crisis Based on MVMQ-CAViaR Method," Discrete Dynamics in Nature and Society, Hindawi, vol. 2014, pages 1-12, June.
  48. repec:kan:wpaper:202105 is not listed on IDEAS
  49. YiHao Lai, 2008. "Does Asymmetric Dependence Structure Matter? A Value-at-Risk View," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 7(3), pages 249-268, December.
  50. Wang, Yi-Chiuan & Wu, Jyh-Lin & Lai, Yi-Hao, 2018. "New evidence on asymmetric return–volume dependence and extreme movements," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 212-227.
  51. Barry K. Goodwin, 2013. "A note on a simplified and general approach to simulating from multivariate copula functions," Applied Economics Letters, Taylor & Francis Journals, vol. 20(9), pages 910-915, June.
  52. 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).
  53. Woraphon Yamaka & Rangan Gupta & Sukrit Thongkairat & Paravee Maneejuk, 2023. "Structural and predictive analyses with a mixed copula‐based vector autoregression model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 223-239, March.
  54. 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).
  55. Katja Ignatieva & Eckhard Platen, 2010. "Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(3), pages 261-302, September.
  56. Poornima Unnikrishnan & Kumaraswamy Ponnambalam & Nirupama Agrawal & Fakhri Karray, 2023. "Joint Flood Risks in the Grand River Watershed," Sustainability, MDPI, vol. 15(12), pages 1-14, June.
  57. Chia-Hsun Hsieh & Shian-Chang Huang, 2012. "Time-Varying Dependency and Structural Changes in Currency Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(2), pages 94-127, March.
  58. Karol Szafranek, 2015. "Financialisation of the commodity markets. Conclusions from the VARX DCC GARCH," EcoMod2015 8554, EcoMod.
  59. Niemierko, Rochus & Töppel, Jannick & Tränkler, Timm, 2019. "A D-vine copula quantile regression approach for the prediction of residential heating energy consumption based on historical data," Applied Energy, Elsevier, vol. 233, pages 691-708.
  60. Xiaolei He & Weiguo Zhang, 2024. "Vine copula‐based scenario tree generation approaches for portfolio optimization," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1936-1955, September.
  61. Henryk Gurgul & Robert Syrek, 2010. "Polish stock market and some foreign markets - dependence analysis by regime-switching copulas," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 8, pages 21-39.
  62. 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.
  63. Paulo Horta & Carlos Mendes & Isabel Vieira, 2010. "Contagion effects of the subprime crisis in the European NYSE Euronext markets," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 9(2), pages 115-140, August.
  64. Joe-Ming Lee, 2013. "The Search of Structural Changes in Mutual Fund Industry-Based On the ARMAX-GJR-GARCH Model," Asian Journal of Empirical Research, Asian Economic and Social Society, vol. 3(3), pages 308-316, March.
  65. Cathy Ning & Dinghai Xu & Tony Wirjanto, 2009. "Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data," Working Papers 006, Toronto Metropolitan University, Department of Economics.
  66. Poornima Unnikrishnan & Kumaraswamy Ponnambalam & Fakhri Karray, 2024. "Influence of Regional Temperature Anomalies on Strawberry Yield: A Study Using Multivariate Copula Analysis," Sustainability, MDPI, vol. 16(9), pages 1-17, April.
  67. Krauss, Christopher, 2015. "Statistical arbitrage pairs trading strategies: Review and outlook," FAU Discussion Papers in Economics 09/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  68. Zongwu Cai & Guannan Liu & Wei Long & Xuelong Luo, 2024. "Semiparametric Conditional Mixture Copula Models with Copula Selection," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202401, University of Kansas, Department of Economics, revised Jan 2024.
  69. EnDer Su, 2017. "Measuring and Testing Tail Dependence and Contagion Risk Between Major Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 50(2), pages 325-351, August.
  70. Yu‐Sheng Lai, 2021. "Generalized autoregressive score model with high‐frequency data for optimal futures hedging," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 2023-2045, December.
  71. 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.
  72. Leo Michelis & Cathy Ning, 2010. "The dependence structure between the Canadian stock market and the USD/CAD exchange rate: a copula approach," Canadian Journal of Economics, Canadian Economics Association, vol. 43(3), pages 1016-1039, August.
  73. Qing Xu & Xiao-Ming Li, 2009. "Estimation of dynamic asymmetric tail dependences: an empirical study on Asian developed futures markets," Applied Financial Economics, Taylor & Francis Journals, vol. 19(4), pages 273-290.
  74. Prince Osei Mensah & Anokye M. Adam, 2020. "Copula-Based Assessment of Co-Movement and Tail Dependence Structure Among Major Trading Foreign Currencies in Ghana," Risks, MDPI, vol. 8(2), pages 1-20, June.
  75. 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.
  76. Gan, Guojun & Valdez, Emiliano A., 2017. "Modeling partial Greeks of variable annuities with dependence," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 118-134.
  77. Bingduo Yang & Zongwu Cai & Christian M. Hafner & Guannan Liu, 2018. "Trending Mixture Copula Models with Copula Selection," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201809, University of Kansas, Department of Economics, revised Sep 2018.
  78. 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.
  79. Aepli, Matthias D. & Frauendorfer, Karl & Fuess, Roland & Paraschiv, Florentina, 2015. "Multivariate Dynamic Copula Models: Parameter Estimation and Forecast Evaluation," Working Papers on Finance 1513, University of St. Gallen, School of Finance.
  80. Chen, Yi-Hsuan & Tu, Anthony H., 2013. "Estimating hedged portfolio value-at-risk using the conditional copula: An illustration of model risk," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 514-528.
  81. Long Kang, 2011. "Asset allocation in a Bayesian copula-GARCH framework: An application to the ‘passive funds versus active funds’ problem," Journal of Asset Management, Palgrave Macmillan, vol. 12(1), pages 45-66, April.
  82. Jonathan Berrisch & Sven Pappert & Florian Ziel & Antonia Arsova, 2022. "Modeling Volatility and Dependence of European Carbon and Energy Prices," Papers 2208.14311, arXiv.org, revised Feb 2023.
  83. Xue Deng & Ying Liang, 2023. "Robust Portfolio Optimization Based on Semi-Parametric ARMA-TGARCH-EVT Model with Mixed Copula Using WCVaR," Computational Economics, Springer;Society for Computational Economics, vol. 61(1), pages 267-294, January.
  84. Jalan, Akanksha & Matkovskyy, Roman & Yarovaya, Larisa, 2021. "“Shiny” crypto assets: A systemic look at gold-backed cryptocurrencies during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 78(C).
  85. Qiang Liu & Aiping Tang & Zhongyue Wang & Buyue Zhao, 2023. "Exploring the road icing risk: considering the dependence of icing-inducing factors," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 115(3), pages 2161-2178, February.
  86. Chen, Bin & Hong, Yongmiao, 2014. "A unified approach to validating univariate and multivariate conditional distribution models in time series," Journal of Econometrics, Elsevier, vol. 178(P1), pages 22-44.
  87. Zhu, Xiaoqian & Xie, Yongjia & Li, Jianping & Wu, Dengsheng, 2015. "Change point detection for subprime crisis in American banking: From the perspective of risk dependence," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 18-28.
  88. Lai, YiHao & Tseng, Jen-Ching, 2010. "The role of Chinese stock market in global stock markets: A safe haven or a hedge?," International Review of Economics & Finance, Elsevier, vol. 19(2), pages 211-218, April.
  89. Kim, Sojung & Weber, Stefan, 2022. "Simulation methods for robust risk assessment and the distorted mix approach," European Journal of Operational Research, Elsevier, vol. 298(1), pages 380-398.
  90. 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).
  91. Yanning Sun & Wei Qin & Zilong Zhuang, 2022. "Nonparametric-copula-entropy and network deconvolution method for causal discovery in complex manufacturing systems," Journal of Intelligent Manufacturing, Springer, vol. 33(6), pages 1699-1713, August.
  92. Wang Ruihua & Wang Hongjun, 2020. "Correlation Analysis of Stock Market and Fund Market Based on M-Copula-EGARCH-M-GED Model," Journal of Systems Science and Information, De Gruyter, vol. 8(3), pages 240-252, June.
  93. Guannan Liu & Wei Long & Bingduo Yang & Zongwu Cai, 2022. "Semiparametric estimation and model selection for conditional mixture copula models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(1), pages 287-330, March.
  94. 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.
  95. Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
  96. 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.
  97. Renata Rendek, 2013. "Modeling Diversified Equity Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 23, July-Dece.
  98. Sahin, Özge & Czado, Claudia, 2022. "Vine copula mixture models and clustering for non-Gaussian data," Econometrics and Statistics, Elsevier, vol. 22(C), pages 136-158.
  99. 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.
  100. Jin Seo Cho & Peter C. B. Phillips & Juwon Seo, 2019. "Parametric Inference on the Mean of Functional Data Applied to Lifetime Income Curves," Working papers 2019rwp-153, Yonsei University, Yonsei Economics Research Institute.
  101. Roch, Oriol & Alegre, Antonio, 2006. "Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1312-1329, November.
  102. Yue Peng & Wing Ng, 2012. "Analysing financial contagion and asymmetric market dependence with volatility indices via copulas," Annals of Finance, Springer, vol. 8(1), pages 49-74, February.
  103. Katja Ignatieva & Natalia Ponomareva, 2017. "Commodity currencies and commodity prices: modelling static and time-varying dependence," Applied Economics, Taylor & Francis Journals, vol. 49(15), pages 1491-1512, March.
  104. Mirza Nazmul Hasan & Roel Braekers, 2022. "Modelling the association in bivariate survival data by using a Bernstein copula," Computational Statistics, Springer, vol. 37(2), pages 781-815, April.
  105. Boubaker, Heni & Sghaier, Nadia, 2013. "Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 361-377.
  106. Mensah, Jones Odei & Premaratne, Gamini, 2014. "Dependence patterns among Banking Sectors in Asia: A Copula Approach," MPRA Paper 60119, University Library of Munich, Germany.
  107. Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C., 2009. "Time Variation in Asset Return Dependence: Strength or Structure?," ERIM Report Series Research in Management ERS-2009-052-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  108. 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).
  109. Maud Korley & Evangelos Giouvris, 2022. "The Impact of Oil Price and Oil Volatility Index (OVX) on the Exchange Rate in Sub-Saharan Africa: Evidence from Oil Importing/Exporting Countries," Economies, MDPI, vol. 10(11), pages 1-29, November.
  110. Tobias Eckernkemper, 2018. "Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall," Journal of Financial Econometrics, Oxford University Press, vol. 16(1), pages 63-117.
  111. Liu, Hsiang-Hsi & Wang, Teng-Kun & Li, Weny, 2019. "Dynamical Volatility and Correlation among US Stock and Treasury Bond Cash and Futures Markets in Presence of Financial Crisis: A Copula Approach," Research in International Business and Finance, Elsevier, vol. 48(C), pages 381-396.
  112. Ur Koumba & Calvin Mudzingiri & Jules Mba, 2020. "Does uncertainty predict cryptocurrency returns? A copula-based approach," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 13(1), pages 67-88, January.
  113. Martin Burda & Louis Belisle, 2019. "Copula Multivariate GARCH Model with Constrained Hamiltonian Monte Carlo," Working Papers tecipa-638, University of Toronto, Department of Economics.
  114. Mokni, Khaled & Mansouri, Faysal, 2017. "Conditional dependence between international stock markets: A long memory GARCH-copula model approach," Journal of Multinational Financial Management, Elsevier, vol. 42, pages 116-131.
  115. Jiang, Kunliang & Ye, Wuyi, 2022. "Does the asymmetric dependence volatility affect risk spillovers between the crude oil market and BRICS stock markets?," Economic Modelling, Elsevier, vol. 117(C).
  116. Heni Boubaker & Nadia Sghaier, 2015. "On the Dynamic Dependence between US and other Developed Stock Markets: An Extreme-value Time-varying Copula Approach," Bankers, Markets & Investors, ESKA Publishing, issue 136-137, pages 80-93, May-June.
  117. 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.
  118. Michal Kaut, 2014. "A copula-based heuristic for scenario generation," Computational Management Science, Springer, vol. 11(4), pages 503-516, October.
  119. repec:ipg:wpaper:2014-094 is not listed on IDEAS
  120. Katja Ignatieva & Eckhard Platen & Renata Rendek, 2010. "Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index," Research Paper Series 284, Quantitative Finance Research Centre, University of Technology, Sydney.
  121. Kim, Daeyoung & Kim, Jong-Min & Liao, Shu-Min & Jung, Yoon-Sung, 2013. "Mixture of D-vine copulas for modeling dependence," Computational Statistics & Data Analysis, Elsevier, vol. 64(C), pages 1-19.
  122. Henryk Gurgul & Artur Machno, 2015. "Regime-Dependent Relationships among Stock Markets in Frankfurt, Vienna and Warsaw," Managing Global Transitions, University of Primorska, Faculty of Management Koper, vol. 13(1 (Spring), pages 3-25.
  123. Nikoloulopoulos, Aristidis K. & Joe, Harry & Li, Haijun, 2012. "Vine copulas with asymmetric tail dependence and applications to financial return data," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3659-3673.
  124. Jin Seo Cho & Peter C. B. Phillips & Juwon Seo, 2022. "Parametric Conditional Mean Inference With Functional Data Applied To Lifetime Income Curves," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(1), pages 391-456, February.
  125. Heni Boubaker & Nadia Sghaier, 2014. "On the dynamic dependence between US and other developed stock markets: An extreme-value time-varying copula approach," Working Papers 2014-281, Department of Research, Ipag Business School.
  126. Hu, Jian, 2008. "Dependence Structures in Chinese and U.S. Financial Markets -- A Time-varying Conditional Copula Approach," MPRA Paper 11401, University Library of Munich, Germany.
  127. 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.
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  144. Andreia Teixeira Marques Dionísio, 2013. "Effect of the container terminal characteristics on performance," CEFAGE-UE Working Papers 2013_13, University of Evora, CEFAGE-UE (Portugal).
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