Stability of cross-market bivariate return distributions during financial turbulence
Sign Up to like & getrecommendations! Published in 2017 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2017.07.170
Abstract: The paper examines the stability of the bivariate stock return distributions across the G5 and five emerging markets in times of financial crisis using copula models. We find that the volatility dynamics as well as… read more here.
Keywords: stability cross; financial turbulence; return distributions;
Equity Risk and Return across Hidden Market Regimes
Sign Up to like & getrecommendations! Published in 2021 at "Risks"
DOI: 10.3390/risks9110188
Abstract: The key to understanding the dynamics of stock markets, particularly the mechanisms of their changes, is in the concept of the market regime. It is regarded as a regular transition from one state to another.… read more here.
Keywords: hidden market; market; financial turbulence; risk return ... See more keywords