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The role of Chinese stock market in global stock markets: A safe haven or a hedge?
15 references·2 citing·46 second hop
The role of Chinese stock market in global stock markets: A safe haven or a hedge? (2009)The role of Chinese stock market in globa…Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold (2010)Is Gold a Hedge or a Safe Hav…Is Gold a Hedge or a Safe Haven? an Analysis of Stocks, Bonds and Gold (2009)Is Gold a Hedge or a Safe Hav…Optimal dynamic hedging via copula-threshold-GARCH models (2008)Optimal dynamic hedging via c…Revisiting the Dependence between Financial Markets with Copulas (2007)Revisiting the Dependence bet…Y2K fears and safe haven trading of the U.S. dollar (2006)Y2K fears and safe haven trad…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Dependence patterns across financial markets: a mixed copula approach (2006)Dependence patterns across fi…China financial research: A review and synthesis (2006)China financial research: A r…Asymmetric extreme interdependence in emerging equity markets (2005)Asymmetric extreme interdepen…Tail‐dependence in stock‐return pairs (2002)Tail‐dependence in stock‐retu…The microstructure of the Chinese stock market (2000)The microstructure of the Chi…On Default Correlation (2000)On Default CorrelationAn Introduction to Copulas (1999)An Introduction to CopulasWeak-form Efficiency and Causality Tests in Chinese Stock Markets (1997)Weak-form Efficiency and Caus…Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Statistical Inference Procedu…Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets (2018)Heterogeneous dependence and …Forecasting the realized volatility of the Chinese stock market: Do the G7 stock markets help? (2018)Forecasting the realized vola…Dynamic Conditional Correlation (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation (2006)Copula–Based Models for Financial Time Series (2009)Copula Methods for Forecasting Multivariate Time Series (2013)Market microstructure theory (1995)The Distribution of Realized Exchange Rate Volatility (2001)The Microstructure Approach to Exchange Rates (2001)Gold and the US dollar: Hedge or haven? (2011)What precious metals act as safe havens, and when? Some US evidence (2014)Why is gold a safe haven? (2016)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The efficiency of the Chinese stock market and the role of the banks (2003)Antibubble and prediction of China's stock market and real-estate (2004)Culture and stock price clustering: Evidence from The Peoples' Republic of China (2007)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Advances in prospect theory: Cumulative representation of uncertainty (1992)Hedging stock sector risk with credit default swaps (2013)Does Gold Glitter in the Long-Run? Gold as a Hedge and Safe Haven Across Time and Investment Horizon (2014)News sentiment in the gold futures market (2014)Multivariate Simultaneous Generalized ARCH (1995)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Credit Risk: Modeling, Valuation and Hedging (2004)Quantitative Risk Management (2011)Judgment Under Uncertainty: Heuristics and Biases. (1984)Prospect theory: An analysis of decision under risk (1988)Is gold a safe haven? International evidence (2010)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier? (2016)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)The Chinese stock exchange market: operations and efficiency (2004)Long-run equilibrium, short-term adjustment, and spillover effects across Chinese segmented stock markets and the Hong Kong stock market (2007)Understanding Relationships Using Copulas (1998)Modelling Dependence with Copulas and Applications to Risk Management (2003)Goodness-of-fit tests for copulas: A review and a power study (2007)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1999An Introduction to Copulas7,743 cited
  • 2010Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold2,340 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2000On Default Correlation1,257 cited
  • 1993Statistical Inference Procedures for Bivariate Archimedean Copulas1,252 cited
  • 2006Dependence patterns across financial markets: a mixed copula approach393 cited
  • 2009Is Gold a Hedge or a Safe Haven? an Analysis of Stocks, Bonds and Gold356 cited
  • 2006Y2K fears and safe haven trading of the U.S. dollar178 cited
  • 2000The microstructure of the Chinese stock market93 cited
  • 1997Weak-form Efficiency and Causality Tests in Chinese Stock Markets91 cited
  • 2002Tail‐dependence in stock‐return pairs77 cited
  • 2006China financial research: A review and synthesis73 cited
  • 2008Optimal dynamic hedging via copula-threshold-GARCH models61 cited
  • 2005Asymmetric extreme interdependence in emerging equity markets43 cited
  • 2007Revisiting the Dependence between Financial Markets with Copulas41 cited

Cited by

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2018
Forecasting the realized volatility of the Chinese stock market: Do the G7 stock markets help?
31 cited
  • 2018Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets30 cited