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The structure and degree of dependence: A quantile regression approach · Study

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ArticleThe structure and degree of dependence: A quantile regression approach

Dirk G. Baur2012

Article2012

The structure and degree of dependence: A quantile regression approach

210 citations·0/0 files stored·Journal of Banking & Finance

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Financial Risk and Volatility Modeling Risk and Portfolio Optimization Complex Systems and Time Series Analysis

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References

1999An Introduction to Copulas 2008Market Liquidity and Funding Liquidity 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements 2001Extreme Correlation of International Equity Markets 2004Copula Methods in Finance 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns 2002Asymmetric correlations of equity portfolios

Cited by

2016Does uncertainty move the gold price? New evidence from a nonparametric causality-in-quantiles test 2017Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression 2020Asymmetric effects of geopolitical risks on energy returns and volatility under different market conditions 2019Do the emerging stock markets react to international economic policy uncertainty, geopolitical risk and financial stress alike?2016The heterogeneity dependence between crude oil price changes and industry stock market returns in China: Evidence from a quantile regression approach

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Year2012

Typearticle

Published2012-11-14

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations210

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jbankfin.2012.10.015

openalex_workW2014930918

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2015Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach

2014The 2008 financial crisis: Stock market contagion and its determinants

2012Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam