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Detecting contagion in Asian exchange rate markets using asymmetric DCC-GARCH and R-vine copulas
16 references·0 citing·35 second hop
Detecting contagion in Asian exchange rate markets using asymmetric DCC-GARCH and R-vine copulas (2019)Detecting contagion in Asian exchange rat…Selecting and estimating regular vine copulae and application to financial returns (2012)Selecting and estimating regu…Maximum likelihood estimation of mixed C-vines with application to exchange rates (2012)Maximum likelihood estimation…Fear of appreciation (2012)Fear of appreciationDynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Dynamic correlation analysis …Uncertainty Analysis with High Dimensional Dependence Modelling (2006)Uncertainty Analysis with Hig…Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Asymmetric Dynamics in the Co…East Asian economic regionalism: progress and challenges (2005)East Asian economic regionali…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Measuring Contagion: Conceptual and Empirical Issues (2001)Measuring Contagion: Conceptu…Contagion and trade (1999)Contagion and tradeAn Introduction to Copulas (1999)An Introduction to CopulasContagion and Trade: Why Are Currency Crises Regional? (1998)Contagion and Trade: Why Are …Families of $m$-variate distributions with given margins and $m(m-1)/2$ bivariate dependence parameters (1996)Families of $m$-variate distr…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…DOES THE OCTOBER 1987 CRASH STRENGTHEN THE CO‐MOVEMENTS AMONG NATIONAL STOCK MARKETS? (1993)DOES THE OCTOBER 1987 CRASH S…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)SRISK: A Conditional Capital Shortfall Measure of Systemic Risk (2010)Financialization, crisis and commodity correlation dynamics (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Extreme Correlation of International Equity Markets (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Truncated regular vines in high dimensions with application to financial data (2012)The impact of energy prices on clean energy stock prices. A multivariate quantile dependence approach (2018)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)A Model of Balance-of-Payments Crises (1979)Rational and Self-Fulfilling Balance-of-Payments Crises (1984)Exchange Market Mayhem: The Antecedents and Aftermath of Speculative Attacks (1995)A New Approach to Measuring Financial Contagion (2000)Contagion: Understanding How It Spreads (2000)The Unholy Trinity of Financial Contagion (2003)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)An empirical analysis of herd behavior in global stock markets (2010)Financial crises and stock market contagion in a multivariate time-varying asymmetric framework (2010)The COVID-19 Outbreak and Affected Countries Stock Markets Response (2020)Modeling International Financial Returns with a Multivariate Regime-switching Copula (2009)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Pair-copula constructions of multiple dependence (2007)Generating random correlation matrices based on vines and extended onion method (2009)
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References

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  • 2002Dynamic Conditional Correlation7,126 cited
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  • 2006Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns1,775 cited
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  • 1998Contagion and Trade: Why Are Currency Crises Regional?798 cited
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  • 2012Selecting and estimating regular vine copulae and application to financial returns743 cited
  • 2006Uncertainty Analysis with High Dimensional Dependence Modelling665 cited
  • 1999Contagion and trade574 cited
  • 2001Measuring Contagion: Conceptual and Empirical Issues514 cited
  • 1993DOES THE OCTOBER 1987 CRASH STRENGTHEN THE CO‐MOVEMENTS AMONG NATIONAL STOCK MARKETS?328 cited
  • 2012Fear of appreciation218 cited
  • 2012Maximum likelihood estimation of mixed C-vines with application to exchange rates201 cited

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  • 2005East Asian economic regionalism: progress and challenges178 cited
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