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Dependence structures in Chinese and US financial markets: a time-varying conditional copula approach
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- Wang, Bo & Xiao, Yang, 2023. "Risk spillovers from China's and the US stock markets during high-volatility periods: Evidence from East Asianstock markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
- Gang-Jin Wang & Chi Xie & Peng Zhang & Feng Han & Shou Chen, 2014. "Dynamics of Foreign Exchange Networks: A Time-Varying Copula Approach," Discrete Dynamics in Nature and Society, Hindawi, vol. 2014, pages 1-11, May.
- Matteo Iacopini & Dominique Guégan, 2018. "Nonparametric Forecasting of Multivariate Probability Density Functions," Working Papers 2018:15, Department of Economics, University of Venice "Ca' Foscari".
- 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.
- Sunil S. Poshakwale & Anandadeep Mandal, 2017. "Sources of time varying return comovements during different economic regimes: evidence from the emerging Indian equity market," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 859-892, May.
- 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.
- 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.
- Wu, Weiou & Lau, Marco Chi Keung & Vigne, Samuel A., 2017. "Modelling asymmetric conditional dependence between Shanghai and Hong Kong stock markets," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1137-1149.
- 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.
- Kim, Myung Suk, 2018. "Impacts of supply and demand factors on declining oil prices," Energy, Elsevier, vol. 155(C), pages 1059-1065.
- Hussain, Saiful Izzuan & Li, Steven, 2018. "The dependence structure between Chinese and other major stock markets using extreme values and copulas," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 421-437.
- Xiao, Yang, 2020. "The risk spillovers from the Chinese stock market to major East Asian stock markets: A MSGARCH-EVT-copula approach," International Review of Economics & Finance, Elsevier, vol. 65(C), pages 173-186.
- Dominique Guegan & Matteo Iacopini, 2018. "Nonparametric forecasting of multivariate probability density functions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01821815, HAL.
- Poshakwale, Sunil S. & Mandal, Anandadeep, 2016. "Determinants of asymmetric return comovements of gold and other financial assets," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 229-242.
- Xiao Jing Cai & Shuairu Tian & Shigeyuki Hamori, 2017. "Stock Market Integration in China: Evidence from the Asymmetric DCC Model and Copula Approach," Applied Economics and Finance, Redfame publishing, vol. 4(2), pages 1-10, March.
- Nguyen, Cuong & Ishaq Bhatti, M. & Henry, Darren, 2017. "Are Vietnam and Chinese stock markets out of the US contagion effect in extreme events?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 480(C), pages 10-21.
- 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.
- Chong, Oiping & Bany- Ariffin, A.N. & Matemilola, Bolaji Tunde & McGowan, C.B., 2020. "Can China’s cross-sectional dispersion of stock returns influence the herding behaviour of traders in other local markets and China’s trading partners?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
- Qianqian Wang & Choi, 2015. "Co-movement of the Chinese and U.S. aggregate stock returns," Applied Economics, Taylor & Francis Journals, vol. 47(50), pages 5337-5353, October.
- Emmanuel Afuecheta & Saralees Nadarajah & Stephen Chan, 2021. "A Statistical Analysis of Global Economies Using Time Varying Copulas," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 1167-1194, December.
- 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.
- Herrera, R. & Eichler, S., 2011. "Extreme dependence with asymmetric thresholds: Evidence for the European Monetary Union," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2916-2930, November.
- repec:ipg:wpaper:2014-094 is not listed on IDEAS
- 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.
- Parthajit Kayal & Janani Sri SG, 2020. "Going Beyond Gold: Can Equities be Safe-Haven?," Working Papers 2020-203, Madras School of Economics,Chennai,India.
- Dominique Guegan & Matteo Iacopini, 2018. "Nonparametric forecasting of multivariate probability density functions," Post-Print halshs-01821815, HAL.
- Dominique Guégan & Matteo Iacopini, 2018. "Nonparameteric forecasting of multivariate probability density functions," Documents de travail du Centre d'Economie de la Sorbonne 18012, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Heni Boubaker & Nadia Sghaier, 2014. "On the dynamic dependence between US and other developed stock markets: An extreme," Working Papers 2014-94, Department of Research, Ipag Business School.
- Wang, Kehluh & Chen, Yi-Hsuan & Huang, Szu-Wei, 2011. "The dynamic dependence between the Chinese market and other international stock markets: A time-varying copula approach," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 654-664, October.