Search
Search Results
-
Quantile and Copula Spectrum: A New Approach to Investigate Cyclical Dependence in Economic Time Series
This chapter presents a survey of some recent methods used in economics and finance to account for cyclical dependence and account for their...
-
Tail spillover effects between cryptocurrencies and uncertainty in the gold, oil, and stock markets
This study investigates tail dependence among five major cryptocurrencies, namely Bitcoin, Ethereum, Litecoin, Ripple, and Bitcoin Cash, and...
-
A Case Study: Modeling Energy Markets by the Means of Quantile Regression
Quantile regression is a potent tool to analyze frequently found issues in economics and finance, such as the identification of consumption and...
-
Stock market returns and oil price shocks: A CoVaR analysis based on dynamic vine copula models
Crude oil plays a significant role in economic developments in the world. Understanding the relationship between oil price changes and stock market...
-
The Dynamic Relationship Between Gas and Crude Oil Markets and the Causal Impact of US Shale Gas
Although the recent debate in energy economics on the importance of oil price indexation versus shale gases suggest that big data can be used in...
-
From volatility to stability: understanding the role of macroeconomic factors in sovereign CDS spreads
This paper contributes to the understanding of sovereign credit default swap (CDS) markets by examining the response of CDS spreads to macroeconomic...
-
From classes to copulas: wages, capital, and top incomes
Public debates about the rise in top income shares often focus on the growing dispersion in earnings, and the soaring pay for top executives and...
-
Liquidity connectedness in cryptocurrency market
We examine the dynamics of liquidity connectedness in the cryptocurrency market. We use the connectedness models of Diebold and Yilmaz (Int J...
-
Stochastic frontier models using the Generalized Exponential distribution
We present a new, single-parameter distributional specification for the one-sided error components in single-tier and two-tier stochastic frontier...
-
A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence
Analyzing equity market co-movements is important for risk diversification of an international portfolio. Copulas have several advantages compared to...
-
