Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas

Gold price and stock markets nexus under mixed-copulas

“…Moreover, Righi and Ceretta (2013), Nguyen et al (2013), Chen et al (2014), Ghorbel and Trabelsi (2014), Lee et al (2015) and Yang et al (2015) also use copula methods but these studies limited to single and bivariate copulas only. Just recently, Mensi et al (2015) examines whether the Shariacompliant stocks measured by Dow Jones Islamic World Emerging Markets (DJIWEM) index, gold and the US Treasury bills (T-bills) can serve as a safe-haven asset using GCC stock markets.…”

“…Yang et al (2015), Boubaker and Sghaier (2015), Bialkowski et al (2015) and Mensi et al (2015), to name few. 3 However, none of them use mix copula to examine the interconnection between gold and stock market prices with the exception of Chen et al (2014) who used mixed generalized variance-gamma (GVG) distribution under restricted copula structure.…”

Time varying integration amongst the South Asian equity markets: An empirical study

“…The copula-GARCH (C-GARCH) model is a multidimensional GARCH process that uses a copula function to model the interlinkages. The application of the C-GARCH model has recently attracted increased academic attention (Basher et al, 2014;Peng & Ng, 2011;Sehgal, Pandey, et al, 2016;Yang & Hamori, 2013;Yang, Cai, Li, & Hamori, 2015). The quantity-based measures assess the degree of integration based on cross-country equity portfolio holding of assets and securities.…”

Value-at-Risk and Models of Dependence in the U.S. Federal Crop Insurance Program

“…Copulas have been used to examine dependence relationships in a number of settings. Yang et al (2015) considered dependence between international stock markets. In an insurance application, Tamakoshi and Hamori (2014) measured dependence between the credit default swap indices of insurers.…”