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Dependence and risk assessment for oil prices and exchange rate portfolios: A wavelet based approach
16 references·3 citing·37 second hop
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References

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  • 1999An Introduction to Copulas7,743 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
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  • 1974Residual Life Time at Great Age1,484 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 2006Oil price risk and emerging stock markets932 cited
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  • 1998Oil prices and the rise and fall of the US real exchange rate563 cited
  • 2010Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?559 cited
  • 2009Commodity prices, interest rates and the dollar544 cited
  • 2011Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis498 cited

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  • 2012Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach436 cited
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    • 2015Oil price and stock market co-movement: What can we learn from time-scale approaches?84 cited
    • 2016Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications31 cited
    • 2017Information transmission across stock indices and stock index futures: International evidence using wavelet framework26 cited