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Forecasting international stock market variances

Bekaert, Geert; Xu, Nancy; Ye, Tiange - 2024

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Asymmetric dependence structures and decoupling hypothesis : Islamic versus conventional equity indices with copula approach

Houidi, Fatma; Ellouze, Siwar - In: International journal of Islamic and Middle Eastern … 15 (2022) 6, pp. 1088-1108

Persistent link: https://www.econbiz.de/10014337180

Dependence structure among international stock markets : a GARCH–copula analysis

Yang, Lu; Hamori, Shigeyuki - In: Applied financial economics 23 (2013) 22/24, pp. 1805-1817

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Time-Varying Asymmetric Tail Dependence of International Equities Markets

Zhou, Chunyang; Qin, Xiao - 2022

In this paper, we use the skewed t copula with a DCC (Dynamic Conditional Correlation) model to capture the time-varying asymmetric tail dependence among MSCI US, Europe and Emerging markets. The empirical results show that it is important to take account of asymmetric tail dependence when...

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International stock market volatility : a global tail risk sight

Lu, Xinjie; Zeng, Qing; Zhong, Juandan; Zhu, Bo - In: Journal of international financial markets, … 91 (2024), pp. 1-15

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Dynamic linkages between stock markets : the effects of crises and globalization

Doman, Małgorzata; Doman, Ryszard - In: Portuguese economic journal 12 (2013) 2, pp. 87-112

Persistent link: https://www.econbiz.de/10009780259

Sensitivity, persistence and asymmetric effects in international stock market volatility during the global financial crisis

Gabriel, Vitor - In: Revista de métodos cuantitativos para la economía y … 19 (2015), pp. 42-65

and market regulation. The Subprime crisis affected all markets around the world. Daily data of twelve stock indexes for …

Persistent link: https://www.econbiz.de/10011306093

Which global stock indices trigger stronger contagion risk in the Vietnamese stock market? : evidence using a bivariate analysis

Wang, Kuan Min; Lai, Hung-Cheng - In: Panoeconomicus 60 (2013) 4, pp. 473-497

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Complex network analysis of volatility spillovers between global financial indicators and G20 stock markets

Korkusuz, Burak; McMillan, David G.; Kambouroudis, Dimos - In: Empirical economics : a quarterly journal of the … 64 (2023) 4, pp. 1517-1537

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Volatility in international stock markets : an empirical study during COVID-19

Chaudhary, Rashmi; Bakhshi, Priti; Gupta, Hemendra - In: Journal of risk and financial management : JRFM 13 (2020) 9/208, pp. 1-17

Predicting volatility is a must in the finance domain. Estimations of volatility, along with the central tendency, permit us to evaluate the chances of getting a particular result. Financial analysts are frequently challenged with the assignment of diversifying assets in order to form efficient...

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