The extreme-value dependence of Asia-Pacific equity markets
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Cited by:
- Qian Chen & David E. Giles & Hui Feng, 2012.
"The extreme-value dependence between the Chinese and other international stock markets,"
Applied Financial Economics, Taylor & Francis Journals, vol. 22(14), pages 1147-1160, July.
- David E. Giles, 2010. "The Extreme-Value Dependence Between the Chinese and Other International Stock Markets," Econometrics Working Papers 1003, Department of Economics, University of Victoria.
- Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
- Roman Matkovskyy, 2019.
"Extremal Economic (Inter)Dependence Studies: A Case of the Eastern European Countries,"
Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(3), pages 667-698, September.
- Roman Matkovskyy, 2019. "Extremal Economic (Inter)Dependence Studies: A Case of the Eastern European Countries," Post-Print hal-02332090, HAL.
- Liu, Wei-han, 2018. "Hidden Markov model analysis of extreme behaviors of foreign exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1007-1019.
- Dungey, Mardi & Milunovich, George & Thorp, Susan, 2010. "Unobservable shocks as carriers of contagion," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1008-1021, May.
- Yue Peng & Wing Ng, 2012. "Analysing financial contagion and asymmetric market dependence with volatility indices via copulas," Annals of Finance, Springer, vol. 8(1), pages 49-74, February.
- Stelios Bekiros & Nikolaos Loukeris & Iordanis Eleftheriadis & Christos Avdoulas, 2019. "Tail-Related Risk Measurement and Forecasting in Equity Markets," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 783-816, February.
- Zheng, Yixing & Ramsey, Austin F., 2022. "Extreme Correlation Between Daily Basis Returns of Local Corn Markets in North Carolina," 2022 Annual Meeting, July 31-August 2, Anaheim, California 322373, Agricultural and Applied Economics Association.
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