Dependence structure and extreme comovements in international equity and bond markets

By René Garcia, Georges Tsafack. 2011

228 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/68282a87b62b3a6d3fbb564bd7ad355d669e1d2d

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Citations in the corpus

A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach (2013, unknown): “These articles, however, fail to examine asymmetric tail dependence between two markets since they assume that innovations follow a multivariate normal or student-t distribution which is a symmetric distribution (Patton, 2006; Garcia and Tsafack, 2011).”
Extreme risk spillovers between crude oil and stock markets (2015, background): “The asymmetric character of returns and the underlying correlations in financialmarkets are investigated by Longin and Solnik (2001), Patton (2006) and Garcia and Tsafack (2011) among others.”
Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillovers (2015, unknown): “As both volatility and its spillovers represent informative measures relevant for risk valuation and portfolio diversification strategies (Garcia and Tsafack, 2011), asymmetric effects should be quantified properly.”
Copulas in Econometrics (2014, background): “Applications of copula-based models to consider portfolio decisions are presented by Patton (2004), Hong et al. (2007), Garcia & Tsafack (2011), and Christoffersen et al. (2012).”
Copula Methods for Forecasting Multivariate Time Series (2013, methodology): “…disappointment aversion preferences; Christo¤ersen and Langlois (2011) consider portfolio decisions involving four common equity market factors; Garcia and Tsafack (2011) consider portfolio decisions involving stocks and bonds in two countries; and Christo¤ersen, et al. (2011) consider a…”
A new time-varying optimal copula model identifying the dependence across markets (2017, background): “Okimoto (2008) and Garcia and Tsafack (2011) constructed an RSC model to describe the type of dependence structure under different regimes.”
A review of copula models for economic time series (2012, background): “[93] consider an investment decision involving eleven equity portfolios under ‘‘disappointment aversion’’ preferences; Christoffersen and Langlois [36] consider portfolio decisions involving four common equity market factors; and Garcia and Tsafack [63] consider portfolio decisions involving stocks ”
Selecting and estimating regular vine copulae and application to financial returns (2012, background): “The importance of a good selection choice has also been noted by Garcia and Tsafack (2009).”
Canonical vine copulas in the context of modern portfolio management: Are they worth it? (2013, methodology): “While forecasting models incorporating asymmetric dependence produce significant gains for the investor with no short-sales constraints, they have been limited to bivariate or trivariate settings using standard Archimedean copulas (Patton, 2004; Garcia and Tsafack, 2011; Ba, 2011).”