The dynamic dependence between stock markets in the greater China economic area: a study based on extreme values and copulas
Author:
Publisher
Springer Science and Business Media LLC
Link
http://link.springer.com/article/10.1007/s11408-018-0308-5/fulltext.html
Reference57 articles.
1. Al Rahahleh N., Bhatti, M.I.: Co-movement measure of information transmission on international equity markets. Phys. A: Stat. Mech. Appl. 470, 119–131 (2017)
2. Al Rahahleh, N., Bhatti, M.I., Adeinat, I.: Tail dependence and information flow: evidence from international equity markets. Phys. A: Stat. Mech. Appl. 474, 319–329 (2017)
3. Ané, T., Labidi, C.: Spillover effects and conditional dependence. Int. Rev Econ. Finance 15(4), 417–442 (2006)
4. Balkema, A.A., De Haan, L.: Residual life time at great age. Ann. Probab. 2(5), 792–804 (1974)
5. Bartram, S.M., Taylor, S.J., Wang, Y.H.: The Euro and European financial market dependence. J. Bank. Finance 31(5), 1461–1481 (2007)
Cited by 7 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Time-varying risk aversion and dynamic dependence between crude oil futures and European Union allowance futures markets;Frontiers in Environmental Science;2023-05-09
2. Linkage transitions between oil and the stock markets of countries with the highest COVID-19 cases;Journal of Commodity Markets;2021-12
3. Predicting Extreme Returns of Bitcoin: Extreme Value Theory Approach;Journal of Physics: Conference Series;2021-07-01
4. Dependence structure between oil and other commodity futures in China based on extreme value theory and copulas;The World Economy;2021-04-05
5. Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall;The Journal of Risk;2021
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3