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How are Africa's emerging stock markets related to advanced markets? Evidence from copulas
16 references·14 citing·29 second hop
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A Dynamic Copula Approach (2012)Is the Potential for Internat…GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)GENERALIZED AUTOREGRESSIVE SC…Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets (2011)Dynamic correlation analysis …Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)Financial crises and stock ma…MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)MODELLING ASYMMETRIC EXCHANGE…Copula Methods in Finance (2004)Copula Methods in FinanceRisk Management: Value at Risk and Beyond (2003)Risk Management: Value at Ris…No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)No Contagion, Only Interdepen…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…An Introduction to Copulas (1999)An Introduction to CopulasGeneralized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables (1978)Testing Against General Autor…Why Not Diversify Internationally Rather Than Domestically? 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this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1999An Introduction to Copulas7,743 cited
  • 2002No Contagion, Only Interdependence: Measuring Stock Market Comovements4,647 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2004Copula Methods in Finance2,013 cited
  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 1978Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables1,468 cited
  • 2015Oil prices, US stock return, and the dependence between their quantiles1,428 cited
  • 2012GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS988 cited
  • 1974Why Not Diversify Internationally Rather Than Domestically?899 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
  • 2011Dynamic correlation analysis of financial contagion: Evidence from the Central and Eastern European markets391 cited

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2003
Risk Management: Value at Risk and Beyond
340 cited
  • 2013Copula Methods for Forecasting Multivariate Time Series323 cited
  • Cited by

    • 2020Markov-switching dependence between artificial intelligence and carbon price: The role of policy uncertainty in the era of the 4th industrial revolution and the effect of COVID-19 pandemic123 cited
    • 2017Dependence of stock markets with gold and bonds under bullish and bearish market states71 cited
    • 2021Re-examination of international bond market dependence: Evidence from a pair copula approach59 cited
    • 2021Are Cryptocurrencies and African stock markets integrated?55 cited
    • 2021The effects of public sentiments and feelings on stock market behavior: Evidence from Australia51 cited
    • 2020Assessment of Human Productivity Drivers for Construction Labor through Importance Rating and Risk Mapping41 cited
    • 2018African stock markets in the midst of the global financial crisis: Recoupling or decoupling?35 cited
    • 2021Co-movement between GCC stock markets and the US stock markets: A wavelet coherence analysis28 cited
    • 2019Dependence and risk spillovers between mainland China and London stock markets before and after the Stock Connect programs25 cited
    • 2022Stock market integration in Africa: Further evidence from an information‐theoretic framework24 cited
    • 2018On the linkages between Africa’s emerging equity markets and global markets: Evidence from fractional integration and cointegration22 cited
    • 2017Long range dependence in an emerging stock market’s sectors: volatility modelling and VaR forecasting21 cited
    • 2017Systemic Risks Spillovers and Interdependence among Stock Markets: International Evidence with Covar‐Copulas21 cited
    • 2020Stock market dependence in crisis periods: Evidence from oil price shocks and the Qatar blockade20 cited