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Correlations and risk contagion between mixed assets and mixed-asset portfolio VaR measurements in a dynamic view: An application based on time varying copula models
16 references·2 citing·46 second hop
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References

  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,489 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2007Pair-copula constructions of multiple dependence2,082 cited
  • 2007Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask1,675 cited
  • 2014The Global Crisis and Equity Market Contagion720 cited
  • 2013Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold556 cited
  • 2014World gold prices and stock returns in China: Insights for hedging and diversification strategies331 cited
  • 2010Asset market linkages: Evidence from financial, commodity and real estate assets293 cited
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  • 2011Co‐movements and Correlations Across Asian Securitized Real Estate and Stock Markets103 cited
  • 2013Systemic Risk, Contagion, and Financial Networks: A Survey78 cited
  • 2012Testing for causality between the gold return and stock market performance: evidence for ‘gold investment in case of emergency’63 cited
  • 2011The roles of news and volatility in stock market correlations during the global financial crisis

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58 cited
  • 2013Is gold a hedge or a safe haven?Evidence from inflation and stock market52 cited
  • 2008A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence49 cited
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    • 2019Risk contagion caused by interactions between credit and guarantee networks15 cited
    • 2021Analysis of Early Warning of RMB Exchange Rate Fluctuation and Value at Risk Measurement Based on Deep Learning15 cited