SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Modeling exchange rate dependence dynamics at different time horizons
16 references·14 citing·28 second hop
Modeling exchange rate dependence dynamics at different time horizons (2010)Modeling exchange rate dependence dynamic…The t Copula and Related Copulas (2007)The t Copula and Related Copu…The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Copula-GARCH model of con…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004)Modeling Regional Interdepend…Asymptotic efficiency of the two-stage estimation method for copula-based models (2004)Asymptotic efficiency of the …Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…An Introduction to Copulas (1999)An Introduction to CopulasMultivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Capital Asset Pricing Model…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Multivariate GARCH models: a surveyMultivariate GARCH models: a …Dynamic dependence and spillover among the energy related ETFs: From the hedging effectiveness perspective (2024)Dynamic dependence and spillo…Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies (2022)Conditional dependence struct…The impact of Euro through time: Exchange rate dynamics under different regimes (2020)The impact of Euro through ti…Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory (2020)Financial contagion and conta…Dynamic exchange rate dependences: The effect of the U.S.-China trade war (2020)Dynamic exchange rate depende…The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data (2019)The time-frequency co-movemen…Co-movement of stock exchange indices and exchange rates in Ghana: A wavelet coherence analysis (2018)Co-movement of stock exchange…Co-movement of real exchange rates in the West African Monetary Zone (2017)Co-movement of real exchange …Tail dependence structure of the foreign exchange market: A network view (2015)Tail dependence structure of …Modeling spot price dependence in Australian electricity markets with applications to risk management (2015)Modeling spot price dependenc…Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach (2015)Modeling multi-country mortal…Age-specific copula-AR-GARCH mortality models (2015)Age-specific copula-AR-GARCH …Long memory dynamics for multivariate dependence under heavy tails (2014)Long memory dynamics for mult…Vine-copula GARCH model with dynamic conditional dependence (2013)Vine-copula GARCH model with …Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Time Series Analysis: Forecasting and Control (1977)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets (2016)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Introductory Econometrics for Finance (2008)Copula Modeling: An Introduction for Practitioners (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)SRISK: A conditional capital shortfall measure of systemic risk (2017)The Cross‐Section of Volatility and Expected Returns (2006)A Simple Approximate Long-Memory Model of Realized Volatility (2008)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1999An Introduction to Copulas7,743 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • n.d.Multivariate GARCH models: a survey2,055 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 2004Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model1,461 cited
  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
  • 2007The t Copula and Related Copulas964 cited
  • 2006The Copula-GARCH model of conditional dependencies: An international stock market application

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

784 cited
  • 2004Asymptotic efficiency of the two-stage estimation method for copula-based models602 cited
  • Cited by

    • 2015Modeling spot price dependence in Australian electricity markets with applications to risk management81 cited
    • 2015Tail dependence structure of the foreign exchange market: A network view70 cited
    • 2014Long memory dynamics for multivariate dependence under heavy tails64 cited
    • 2020Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory62 cited
    • 2020Dynamic exchange rate dependences: The effect of the U.S.-China trade war61 cited
    • 2013Vine-copula GARCH model with dynamic conditional dependence53 cited
    • 2019The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data40 cited
    • 2017Co-movement of real exchange rates in the West African Monetary Zone38 cited
    • 2024Dynamic dependence and spillover among the energy related ETFs: From the hedging effectiveness perspective35 cited
    • 2018Co-movement of stock exchange indices and exchange rates in Ghana: A wavelet coherence analysis32 cited
    • 2020The impact of Euro through time: Exchange rate dynamics under different regimes30 cited
    • 2022Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies29 cited
    • 2015Modeling multi-country mortality dependence and its application in pricing survivor index swaps—A dynamic copula approach27 cited
    • 2015Age-specific copula-AR-GARCH mortality models26 cited