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Modeling the volatility of futures return in rubber and oil—A Copula-based GARCH model approach
14 references·0 citing·44 second hop
Modeling the volatility of futures return in rubber and oil—A Copula-based GARCH model approach (2013)Modeling the volatility of futures return…The Euro and European financial market dependence (2007)The Euro and European financi…Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …Copulas: An Open Field for Risk Management (2007)Copulas: An Open Field for Ri…Trading futures spreads: an application of correlation and threshold filters (2006)Trading futures spreads: an a…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Inter-market spread trading: evidence from UK index futures markets (2002)Inter-market spread trading: …Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Long and short term dynamic causal transmission amongst international stock markets (2001)Long and short term dynamic c…The determination and international transmission of stock market volatility (2000)The determination and interna…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…MEAN AND VOLATILITY SPILLOVERS ACROSS MAJOR NATIONAL STOCK MARKETS: FURTHER EMPIRICAL EVIDENCE (1993)MEAN AND VOLATILITY SPILLOVER…Soft Systems Methodology in Action (1991)Soft Systems Methodology in A…International Transmission of Stock Market Movements (1989)International Transmission of…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Energy consumption and economic growth: A causality analysis for Greece (2009)The diversification benefits from Islamic investment during the financial turmoil: The case for the US-based equity investors (2014)Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic (2022)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)The Variation of Certain Speculative Prices (1963)The theory and practice of econometrics (1986)The day of the week effect on stock market volatility and volume: International evidence (2003)Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis (2013)Modelling Volatility Spillover Effects Between Developed Stock Markets and Asian Emerging Stock Markets (2014)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)An Introduction to Copulas (1999)Copula Modeling: An Introduction for Practitioners (2007)SRISK: A conditional capital shortfall measure of systemic risk (2017)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Common stochastic trends in international stock markets (1992)A New Approach to Measuring Financial Contagion (2003)Exploring the Dynamic Relationships between Cryptocurrencies and Other Financial Assets (2017)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)The dark side of global integration: Increasing tail dependence (2009)Wavelet multiple correlation and cross-correlation: A multiscale analysis of Eurozone stock markets (2011)Volatility spillovers across global asset classes: Evidence from time and frequency domains (2018)Investigating Information Systems with Action Research (1999)Soft systems methodology: a thirty year retrospective (2000)Combining IS Research Methods: Towards a Pluralist Methodology (2001)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1991Soft Systems Methodology in Action3,414 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 1989International Transmission of Stock Market Movements1,412 cited
  • 1993MEAN AND VOLATILITY SPILLOVERS ACROSS MAJOR NATIONAL STOCK MARKETS: FURTHER EMPIRICAL EVIDENCE313 cited
  • 2001Long and short term dynamic causal transmission amongst international stock markets290 cited
  • 2007The Euro and European financial market dependence233 cited
  • 2000The determination and international transmission of stock market volatility81 cited
  • 2006Trading futures spreads: an application of correlation and threshold filters34 cited
  • 2007Copulas: An Open Field for Risk Management25 cited
  • 2002Inter-market spread trading: evidence from UK index futures markets24 cited

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