The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies
Using half-rotated technology of copula, this study proposes a generalized autoregressive
conditional heteroskedasticity (GARCH) copula quantile regression (CQR) model to …
conditional heteroskedasticity (GARCH) copula quantile regression (CQR) model to …
[HTML][HTML] COVID-19 pandemic and Romanian stock market volatility: A GARCH approach
This paper investigates the volatility of daily returns on the Romanian stock market between
January 2020 and April 2021. Volatility is analyzed by means of the representative index for …
January 2020 and April 2021. Volatility is analyzed by means of the representative index for …
FTX Collapse and systemic risk spillovers from FTX Token to major cryptocurrencies
We examine the dynamic lower tail dependence and downside risk spillover between the
FTX Token and seven major cryptocurrencies using Rotated Gumbel copula and GARCH …
FTX Token and seven major cryptocurrencies using Rotated Gumbel copula and GARCH …
Linkage dynamics of sovereign credit risk and financial markets: A bibliometric analysis
The manuscript aims to perform a study on the evolution of academic literature revolving
around the linkages between sovereign credit risk and financial markets through a …
around the linkages between sovereign credit risk and financial markets through a …
Dynamic risk spillovers from oil to stock markets: Fresh evidence from GARCH copula quantile regression-based CoVaR model
This study proposes a GARCH copula quantile regression model to capture the downside
and upside tail dependence between oil price change and stock market returns at different …
and upside tail dependence between oil price change and stock market returns at different …
Tail-risk spillovers from China to G7 stock market returns during the COVID-19 outbreak: A market and sectoral analysis
This study uses a combination of copulas and CoVaR to investigate risk spillovers from
China to G7 countries before and during the COVID-19 pandemic. Using daily data on stock …
China to G7 countries before and during the COVID-19 pandemic. Using daily data on stock …
Dynamic spillovers in higher moments and jumps across ETFs and economic and financial uncertainty factors in the context of successive shocks
Hedging is a particularly important tool in the Exchange Traded Fund (ETF) markets where
market makers seek the best ways to mitigate the uncertainty of their exposures. This study …
market makers seek the best ways to mitigate the uncertainty of their exposures. This study …
Risk spillover analysis of China's financial sectors based on a new GARCH copula quantile regression model
This study employs a new GARCH copula quantile regression model to estimate the
conditional value at risk for systemic risk spillover analysis. To be specific, thirteen copula …
conditional value at risk for systemic risk spillover analysis. To be specific, thirteen copula …
Copula approach to market volatility and technology stocks dependence
B Rašiová, P Árendáš - Finance Research Letters, 2023 - Elsevier
Despite the technology sector being highly responsive to market fluctuations, individual
instances of its lower sensitivity to high market volatility and crisis are documented. This …
instances of its lower sensitivity to high market volatility and crisis are documented. This …
Vine copula approach to the intra-sectoral dependence analysis in the technology industry
B Čeryová, P Árendáš - Finance Research Letters, 2024 - Elsevier
This study explores the dependence within the technology industry post-global financial
crisis. Employing vine copula modeling, we focus on stocks of the biggest US technology …
crisis. Employing vine copula modeling, we focus on stocks of the biggest US technology …