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1by Ning, Cathy Published in Journal of international money and finance (2010)“...This paper investigates the dependence structure between the equity market and the foreign exchange market by using copulas. In particular, several copulas...”
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2“...•We investigate the structure of volatility clustering of asset returns.•We employ copula-based univariate time-series models and realized kernel...”
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3“...This paper investigates the dependence structure between the real Canadian stock returns and the real USD/CAD exchange rate returns, using the Symmetrized...”
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4“...This paper examines the estimation of the Stochastic Conditional Duration model by the empirical characteristic function and the generalized method of moments...”
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5“...A copula approach is used to examine the extreme return–volume relationship in six emerging East-Asian equity markets. The empirical results indicate that...”
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6“...In this paper, we propose the use of static and dynamic copulas to study the leverage effect in the S&P 500 index. Copula models can conveniently separate the...”
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9“...This paper investigates the dependence structure between the real Canadian stock returns and the real USD/CAD exchange rate returns, using the Symmetrized...”
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11“...This paper investigates the dependence structure between the real Canadian stock returns and the real USD/CAD exchange rate returns, using the Symmetrized...”
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12by Ning, Cathy“...This paper investigates the structure and degree of extreme dependence in international equity markets using carefully selected tools from the theory of...”
01.11.2009
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13“...This paper examines the estimation of the Stochastic Conditional Duration model by the empirical characteristic function and the generalized method of moments...”
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18“...In this paper, we examine the integration of international financial markets. The integration of financial markets across countries and across asset classes is...”
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19“...A central role for economic policy involves reducing the incidence of systemic downturns, when key economic variables experience joint extreme events. In this...”