The Effect of Dependence on European Market Risk. A Nonparametric Time Varying Approach-Reference-Cited by-同舟云学术

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The Effect of Dependence on European Market Risk. A Nonparametric Time Varying Approach

Published:2021-03-08 Issue: Volume: Page:1-11
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Ascorbebeitia Jone¹^ORCID,Ferreira Eva¹,Orbe Susan¹

Affiliation:

1. Department of Quantitative Methods, University of the Basque Country, UPV/EHU, Bilbao, Spain

Funder

Euskal Herriko Unibertsitatea

Ministerio de Economía y Competitividad

Eusko Jaurlaritza

Spanish Ministry of the Economy and Competitiveness

UPV/EHU

Basque Government

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2021.1883439

Reference49 articles.

2. Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality

3. Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns

4. Bank Geographic Diversification and Systemic Risk

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