Dependence structure between the equity market and the foreign exchange market–A copula approach

By Cathy Ning. 2010

203 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fab14bd47da8d3fe5846027520d01f8de05b6406

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Citations in the corpus

Bitcoin and global financial stress: A copula-based approach to dependence and causality in the quantiles (2018, methodology): “Finally, copulas are invariant to increasing and continuous transformations (Ning, 2010), such as the scaling of logarithm returns, which is commonly used in economic and finance studies.”
A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach (2013, unknown): “A number of previous studies have applied copulas to model comovements across international financial markets (Cherubini et al., 2004; Patton, 2006; Hu, 2006; Ning, 2010).”
Commodity and Equity Markets: Some Stylized Facts from a Copula Approach (2013, unknown): “2 Studies that use copula to model the dependence structure across financial markets include Ning (2010), Chollete et al. (2011), and Desmoulins-Lebeault and Kharoubi (2012), among others.”
Uncertainty and Crude Oil Returns (2016, background): “Many papers apply copula functions to measure the dependence structure of financial markets and to analyze derivative pricing and portfolio management (e.g., Aloui et al., 2011; ChanLau et al., 2004; Choe and Jang, 2011; Ning, 2010).”
A new time-varying optimal copula model identifying the dependence across markets (2017, methodology): “Early studies mainly utilized the static or single copula method, and the research questions focused on risk analyses of security markets, such as equity, foreign exchange, bonds or their derivatives (Junker et al. 2006; Miller and Liu 2006; Kole et al. 2007; Ning 2010).”
On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010 (2014, unknown): “Ning (2010), instead, used copulas to show that there is significant symmetric upper and lower tail dependence between stock and foreign exchange markets for the G5 countries (US, UK, Germany, France and Japan).”
Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns (2014, methodology): “…unconditional and time-varying copula–GARCHmodels (similar to the method used, e.g., in Patton, 2006a, 2006b; Sun, Rachev, Fabozzi, and Kalev, 2009; Ning, 2010; Reboredo, 2011, 2012; Wang, Chen, and Huang, 2011) to study the dependence structure between crude oil prices and stock returns in ten…”
When does the stock market listen to economic news? New evidence from copulas and news wires (2014, unknown): “For example, Patton (2006) and Michelis and Ning (2010) use copulas to study asymmetries in exchange rate dependence, and Ning and Wirjanto (2009) use a copula model to probe for tail dependence among security returns and trading volume.”