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MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*
12 references·16 citing·35 second hop
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPEND…Copula Methods in Finance (2004)Copula Methods in FinanceCAViaR (2004)CAViaRThe Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…An Introduction to Copulas (1999)An Introduction to CopulasNumerical Methods in Economics (1998)Numerical Methods in EconomicsEvaluating Interval Forecasts (1998)Evaluating Interval ForecastsAnswering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…The Asymptotic Theory of Extreme Order Statistics (1990)The Asymptotic Theory of Extr…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)Green bond and financial mark…SRISK: A conditional capital shortfall measure of systemic risk (2017)SRISK: A conditional capital …Is there dependence and systemic risk between oil and renewable energy stock prices? (2014)Is there dependence and syste…Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Is gold a safe haven or a hed…Is gold a hedge or safe haven against oil price movements? (2013)Is gold a hedge or safe haven…Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Is the Potential for Internat…GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)GENERALIZED AUTOREGRESSIVE SC…A review of copula models for economic time series (2012)A review of copula models for…Modelling oil price and exchange rate co-movements (2011)Modelling oil price and excha…SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)SRISK: A Conditional Capital …Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Global financial crisis, extr…Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)Financial crises and stock ma…Copula–Based Models for Financial Time Series (2009)Copula–Based Models for Finan…Measuring financial contagion: A Copula approach (2007)Measuring financial contagion…Copula Modeling: An Introduction for Practitioners (2007)Copula Modeling: An Introduct…Comparing Density Forecasts via Weighted Likelihood Ratio Tests (2007)Comparing Density Forecasts v…Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Comparing Predictive Accuracy (1994)CoVaR (2016)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)The Behavior of Stock-Market Prices (1965)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Dynamic Conditional Correlation - a Simple Class of Multivariate GARCH Models (2000)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)Asymmetric correlations of equity portfolios (2002)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)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)The distribution of realized stock return volatility (2001)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Strategic Asset Allocation (2002)Solving dynamic general equilibrium models using a second-order approximation to the policy function (2003)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Multivariate GARCH models: a surveyQuantitative Risk Management: Concepts, Techniques, and Tools (2005)
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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
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1998Numerical Methods in Economics2,587 cited
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 2004CAViaR2,210 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2004Copula Methods in Finance2,013 cited
  • 1990The Asymptotic Theory of Extreme Order Statistics1,830 cited

Cited by

  • 2017SRISK: A conditional capital shortfall measure of systemic risk1,318 cited
  • 2012GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS988 cited
  • 2007Copula Modeling: An Introduction for Practitioners876 cited
  • 2007

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Measuring financial contagion: A Copula approach
826 cited
  • 2018Green bond and financial markets: Co-movement, diversification and price spillover effects771 cited
  • 2010SRISK: A Conditional Capital Shortfall Measure of Systemic Risk662 cited
  • 2012A review of copula models for economic time series587 cited
  • 2010Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?559 cited
  • 2007Comparing Density Forecasts via Weighted Likelihood Ratio Tests519 cited
  • 2013Is gold a safe haven or a hedge for the US dollar? Implications for risk management515 cited
  • 2014Is there dependence and systemic risk between oil and renewable energy stock prices?469 cited
  • 2012Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach436 cited
  • 2010Financial crises and stock market contagion in a multivariate time-varying asymmetric framework424 cited
  • 2009Copula–Based Models for Financial Time Series381 cited
  • 2011Modelling oil price and exchange rate co-movements378 cited
  • 2013Is gold a hedge or safe haven against oil price movements?362 cited