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The Copula ADCC-GARCH model can help PIIGS to fly
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1007/s00181-009-0306-6openalex-snapshot
Stock market integration between new EU member states and the Euro-zone
inferredcites →https://doi.org/10.1016/j.econmod.2013.04.009openalex-snapshot
Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?
inferredcites →https://doi.org/10.1016/j.econmod.2014.10.054openalex-snapshot
Economic value of modeling covariance asymmetry for mixed-asset portfolio diversifications
inferredcites →https://doi.org/10.1016/j.ememar.2010.05.002openalex-snapshot
Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis
inferredcites →https://doi.org/10.1016/j.ijforecast.2014.01.001openalex-snapshot
Correlation dynamics and international diversification benefits
inferredcites →https://doi.org/10.1016/j.intfin.2005.08.005openalex-snapshot
Deconstructing the Nasdaq bubble: A look at contagion across international stock markets
inferredcites →https://doi.org/10.1016/j.intfin.2008.08.002openalex-snapshot
Dynamic correlations and volatility effects in the Balkan equity markets
inferredcites →https://doi.org/10.1016/j.intfin.2010.08.005openalex-snapshot
Financial crises and stock market contagion in a multivariate time-varying asymmetric framework
inferredcites →https://doi.org/10.1016/j.intfin.2013.01.005openalex-snapshot
How can a small country affect the European economy? The Greek contagion phenomenon
inferredcites →https://doi.org/10.1016/j.intfin.2013.07.008openalex-snapshot
Financial crises and dynamic linkages among international currencies
inferredcites →https://doi.org/10.1016/j.intfin.2014.01.007openalex-snapshot
An analysis of South-Eastern European stock markets: Evidence on cointegration and portfolio diversification benefits
inferredcites →https://doi.org/10.1016/j.irfa.2009.11.001openalex-snapshot
Price and volatility spillovers across North American, European and Asian stock markets
inferredcites →https://doi.org/10.1016/j.irfa.2013.05.008openalex-snapshot
Global financial crisis and emerging stock market contagion: A multivariate FIAPARCH–DCC approach
inferredcites →https://doi.org/10.1016/j.irfa.2014.05.001openalex-snapshot
On financial contagion and implied market volatility
inferredcites →https://doi.org/10.1016/j.jbankfin.2004.10.002openalex-snapshot
Re-examining the asymmetric predictability of conditional variances: The role of sudden changes in variance
inferredcites →https://doi.org/10.1016/j.jbankfin.2009.07.016openalex-snapshot
Is international diversification really beneficial?
inferredcites →https://doi.org/10.1016/j.jbankfin.2010.07.021openalex-snapshot
Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?
inferredcites →https://doi.org/10.1016/j.jbankfin.2012.03.001openalex-snapshot
Optimal portfolios with minimum capital requirements
inferredcites →https://doi.org/10.1016/j.jbankfin.2012.08.017openalex-snapshot
Dynamic hedge fund portfolio construction: A semi-parametric approach
inferredcites →https://doi.org/10.1016/j.jbankfin.2014.06.025openalex-snapshot
The role of correlation dynamics in sector allocation
inferredcites →https://doi.org/10.1016/j.jeconom.2008.12.008openalex-snapshot
Copula-based multivariate GARCH model with uncorrelated dependent errors
inferredcites →https://doi.org/10.1016/j.jempfin.2008.03.002openalex-snapshot
Robust performance hypothesis testing with the Sharpe ratio
inferredcites →https://doi.org/10.1016/j.jempfin.2008.09.001openalex-snapshot
Stock and bond market interactions with level and asymmetry dynamics: An out-of-sample application
inferredcites →https://doi.org/10.1016/j.jimonfin.2014.01.006openalex-snapshot
Downside risk and portfolio diversification in the euro-zone equity markets with special consideration of the crisis period
inferredcites →https://doi.org/10.1016/j.najef.2015.01.005openalex-snapshot
Improving international diversification benefits for US investors
inferredcites →https://doi.org/10.1016/j.ribaf.2014.03.004openalex-snapshot
On the characteristics of dynamic correlations between asset pairs
inferredcites →https://doi.org/10.1016/s1042-444x(02)00052-xopenalex-snapshot
Sudden changes in variance and volatility persistence in foreign exchange markets
inferredcites →https://doi.org/10.1017/s0022109000003136openalex-snapshot
The Economic Value of Predicting Stock Index Returns and Volatility
inferredcites →https://doi.org/10.1080/01621459.1994.10476824openalex-snapshot
Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
inferredcites →https://doi.org/10.1080/09603100903494946openalex-snapshot
Dynamic correlation analysis of financial contagion in Asian markets in global financial turmoil
inferredcites →https://doi.org/10.1093/jjfinec/nbl005openalex-snapshot
Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
inferredcites →https://doi.org/10.1093/rfs/hhm075openalex-snapshot
Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
inferredcites →https://doi.org/10.1111/j.1475-6803.2007.00218.xopenalex-snapshot
SYMMETRIC VERSUS ASYMMETRIC CONDITIONAL COVARIANCE FORECASTS: DOES IT PAY TO SWITCH?
inferredcites →https://doi.org/10.2307/1912773openalex-snapshot
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
inferred← citeshttps://doi.org/10.2139/ssrn.4833086openalex-extracted
Global Financial Contagion Amidst the Fed's Monetary Policy Impacts: Evidence from a New Multi-Layered Network Analysis
inferred← citeshttps://doi.org/10.1016/j.apenergy.2018.08.008openalex-snapshot
New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries
inferred← citeshttps://doi.org/10.1016/j.econmod.2018.05.007openalex-snapshot
Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses
inferred← citeshttps://doi.org/10.1016/j.frl.2017.10.032openalex-snapshot
Dynamic volatility spillovers and connectedness between global, regional, and GIPSI stock markets
inferred← citeshttps://doi.org/10.1016/j.najef.2019.101004openalex-snapshot
Integrated measurement of liquidity risk and market risk of company bonds based on the optimal Copula model
inferred← citeshttps://doi.org/10.1016/j.physa.2019.04.186openalex-snapshot
Testing for the Granger-causality between returns in the U.S. and GIPSI stock markets
inferred← citeshttps://doi.org/10.1016/j.qref.2018.03.007openalex-snapshot
Extreme co-movements and dependencies among major international exchange rates: A copula approach
inferred← citeshttps://doi.org/10.1108/mf-02-2020-0051openalex-snapshot
Volatility and dependence structures of Latin American stock markets
inferred← citeshttps://doi.org/10.14393/ufu.di.2019.905openalex-snapshot
Análise da volatilidade de ativos financeiros na América Latina: uma perspectiva sobre as estruturas de dependência e otimização de carteiras
inferred← citeshttps://doi.org/10.5585/2025.26362openalex-snapshot
Fatores que afetam o desempenho ESG de empresas localizadas em economias integrantes dos PIIGS
inferred← citeshttps://doi.org/10.5709/ce.1897-9254.595openalex-snapshot
Key Macroeconomic Drivers of Bank Capital Stability Amid Crises and War
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