The Structure and Degree of Dependence - A Quantile Regression Approach
暂无分享,去创建一个
[1] Marno Verbeek,et al. Selecting Copulas for Risk Management , 2007 .
[2] Anis Omri,et al. No Contagion, Only Interdependence During the US Sub-Primes Crisis , 2011 .
[3] V. Peña,et al. International diversification: A copula approach , 2011 .
[4] Andrew Ang,et al. Asymmetric Correlations of Equity Portfolios , 2001 .
[5] D. Baur,et al. Multivariate contagion and interdependence , 2009 .
[6] Andrew J. Patton. Estimation of multivariate models for time series of possibly different lengths , 2006 .
[7] Haibin Zhu,et al. The international financial crisis: timeline, impact and policy responses in Asia and the Pacific , 2010 .
[8] Cuong Nguyen,et al. Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam , 2012 .
[9] M. Sklar. Fonctions de repartition a n dimensions et leurs marges , 1959 .
[10] J. C. Rodríguez,et al. Measuring financial contagion:a copula approach , 2007 .
[11] P. Embrechts,et al. Chapter 8 – Modelling Dependence with Copulas and Applications to Risk Management , 2003 .
[12] Xiongwei,et al. Index Investment and the Financialization of Commodities , 2012 .
[13] Cuong Nguyen,et al. Diversification evidence from international equity markets using extreme values and stochastic copulas , 2012 .
[14] R. Rigobón,et al. No Contagion, Only Interdependence: Measuring Stock Market Co-Movements , 1999 .
[15] R. Koenker,et al. Goodness of Fit and Related Inference Processes for Quantile Regression , 1999 .
[16] P. Embrechts,et al. Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls , 2002 .
[17] Wei Xiong,et al. Index Investment and the Financialization of Commodities , 2010 .
[18] R. Nelsen. An Introduction to Copulas , 1998 .
[19] Ling Hu. Dependence patterns across financial markets: a mixed copula approach , 2006 .
[20] Kee-Hong Bae,et al. A New Approach to Measuring Financial Contagion , 2000 .
[21] J. Tawn,et al. Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications , 2004 .
[22] R. Koenker,et al. The Gaussian hare and the Laplacian tortoise: computability of squared-error versus absolute-error estimators , 1997 .
[23] Xiaohong Chen,et al. Copula-Based Nonlinear Quantile Autoregression , 2008 .
[24] Chung-Ming Kuan,et al. Causality in quantiles and dynamic stock return–volume relations , 2009 .
[25] E. Luciano,et al. Copula methods in finance , 2004 .
[26] Bong‐Soo Lee,et al. Diversification and risk-adjusted performance: A quantile regression approach , 2012 .
[27] R. Koenker,et al. Computing regression quantiles , 1987 .
[28] Marcello Pericoli,et al. Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion , 2002 .
[29] Vance L. Martin,et al. Empirical modelling of contagion: a review of methodologies , 2005 .
[30] Markus K. Brunnermeier,et al. Market Liquidity and Funding Liquidity , 2005 .
[31] Andrew J. Patton. A review of copula models for economic time series , 2012, J. Multivar. Anal..
[32] Georges Tsafack Kemassong. Dependence Structure and Extreme Comovements in International Equity and Bond Markets , 2006 .
[33] Wei Xiong,et al. Contagion as a Wealth Effect , 2001 .
[34] Brian H. Boyer,et al. How Do Crises Spread? Evidence from Accessible and Inaccessible Stock Indices , 2005 .
[35] F. Longin,et al. Extreme Correlation of International Equity Markets , 2000 .
[36] D. Baur,et al. Coexceedances in Financial Markets - a Quantile Regression Analysis of Contagion , 2003 .
[37] I. Goldfajn,et al. Financial Market Contagion in the Asian Crisis , 1998, IMF Staff Papers.
[38] R. Engle,et al. Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns , 2003, SSRN Electronic Journal.
[39] Marcello Pericoli,et al. A Primer on Financial Contagion , 2003 .
[40] E. Luciano,et al. Copula Methods in Finance: Cherubini/Copula , 2004 .