On Asymmetric Correlations and Their Applications in Financial Markets

Cao, Linyu; Sun, Ruili; Ma, Tao; Liu, Conan

doi:10.3390/jrfm16030187

Cited by 3 publications

(3 citation statements)

References 86 publications

(106 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Ji et al (2022) employed the model to demonstrate the correlations during the Asian currency crisis, which was subsequently shown to increase further due to the influence of investor herding behaviors. Cao et al (2023) examined the impact of Asian currency crises on the correlations between eight East Asian stock markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Stock Market Linkage between China and ASEAN-6 Countries: Integration Perspective

2024

JEM

View full text Add to dashboard Cite

This paper examines the integration process and time-varying characteristics of major stock markets in China and Malaysia, the Philippines, Singapore, Thailand and Vietnam). Based on the DCC-GARCH model as related to the daily stock index return data of China and the ASEAN-6, from July 2000 to December 2022, our study showed that the dynamic correlation between the stock markets of China and the ASEAN-6 was significantly enhanced during the sample period. The level of stock market integration between China and Singapore, Malaysia, and Vietnam has increased significantly, and the correlation has become more stable. In addition, the integration process shows significant time-varying characteristics; the effect of major economic events, the development of domestic financial markets, and the opening process of capital markets have a significant impact on the integration process of regional stock markets. The study made recommendations to promote China-ASEAN financial cooperation and offers a reliable theoretical basis for investment portfolio decisions. This will assist policymakers in keeping up with economic trends and taking necessary policy measures and interventions in a timely and effective manner to control stock market risks, ensuring stable and healthy economic development.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

Stock Market Linkage between China and ASEAN-6 Countries: Integration Perspective

2024

JEM

View full text Add to dashboard Cite

show abstract

“…Additionally, financial data exhibit volatility clustering, as evidenced by the presence of asymmetries in volatility, correlations, and stock return beta. Recent studies have highlighted these asymmetric characteristics, including asymmetries in stock return beta, asymmetric correlations and their applications in financial markets, see Arellano-Valle and Azzalini (2013); Bekaert and Wu (2000); Black (1976), andCao et al (2023).…”

Section: The Big Picturementioning

confidence: 99%

“…Mostly associated with financial modeling are GARCH-type (forecasting) models, see Cao et al (2023); Liu (2004); Liu and Heyde (2008); Liu et al (2011, 2022b. These models provide a framework for modeling financial volatility and can capture symmetric or asymmetric effects.…”

Section: Garch Formulationsmentioning

confidence: 99%

Elliptical and Skew-Elliptical Regression Models and Their Applications to Financial Data Analytics

Dewick

Liu

et al. 2023

JRFM

Self Cite

View full text Add to dashboard Cite

Various statistical distributions have played significant roles in financial data analytics in recent decades. Among these, elliptical modeling has gained popularity, while the study and application of skew-elliptical modeling have garnered increased attention in various domains. This paper begins by acknowledging the notable accomplishments and contributions of Professor Chris Heyde in the field of financial data modeling. We provide a comprehensive review of elliptical and skew-elliptical modeling, summarizing the latest advancements. In particular, we focus on the characteristics, estimation methods, and diagnostics of elliptical and skew-elliptical distributions in regression and time series models, as well as copula modeling. Furthermore, we discuss several related applications in regression and time series models, including estimation and diagnostic methods. The main objective of this paper is to address the critical need for accurately identifying the underlying elliptical distribution, whether it is elliptical or skew-elliptical. This identification is essential for conducting local influence diagnostics and employing appropriate regression methods using suitable elliptical modeling techniques. To illustrate this process, we present examples that demonstrate the identification of the elliptical distribution, starting with the Box–Jenkins methodology and progressing to copula modeling. The inclusion of copula modeling is motivated by its effectiveness in conjunction with elliptical and skew-elliptical distributions, as it aids in distinguishing between the two. Ultimately, the findings of this paper offer valuable insights, as correctly determining the elliptical and skew-elliptical distribution enables the application of suitable local influence and regression methods, thereby contributing to financial portfolio management, business analytics, and insurance analytics, ensuring the accurate specification of models.

show abstract

Unveiling Portfolio Resilience: Harnessing Asymmetric Copulas for Dynamic Risk Assessment in the Knowledge Economy

2023

J Knowl Econ

View full text Add to dashboard Cite

On Asymmetric Correlations and Their Applications in Financial Markets

Cited by 3 publications

References 86 publications

Stock Market Linkage between China and ASEAN-6 Countries: Integration Perspective

Stock Market Linkage between China and ASEAN-6 Countries: Integration Perspective

Elliptical and Skew-Elliptical Regression Models and Their Applications to Financial Data Analytics

Unveiling Portfolio Resilience: Harnessing Asymmetric Copulas for Dynamic Risk Assessment in the Knowledge Economy

Contact Info

Product

Resources

About