liu.seSearch for publications in DiVA
Endre søk
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
Extreme Dependence under Uncertainty: an application to Stock, Currency and Oil Markets
Department Econ, Italy; IPAG Business Sch, France.
Linköpings universitet, Institutionen för ekonomisk och industriell utveckling, Nationalekonomi. Linköpings universitet, Filosofiska fakulteten.
2017 (engelsk)Inngår i: International Review of Finance, ISSN 1369-412X, E-ISSN 1468-2443, Vol. 17, nr 1, s. 155-162Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

We explore the impact of uncertainty on financial markets in the aftermath of the global financial crisis. In particular, we investigate the temporal dynamics of the dependence structure of stock, currency and oil markets in the United States using a nonparametric copula approach. Policy uncertainty is modeled via the EPU index of Baker et al. (2013). We find evidence of a pronounced extreme tail asymmetric interrelationship between the crude oil market and economic uncertainty.

sted, utgiver, år, opplag, sider
WILEY , 2017. Vol. 17, nr 1, s. 155-162
HSV kategori
Identifikatorer
URN: urn:nbn:se:liu:diva-136617DOI: 10.1111/irfi.12095ISI: 000395452100007OAI: oai:DiVA.org:liu-136617DiVA, id: diva2:1089925
Merknad

Funding Agencies|EU Horizon research and innovation program under the MS-C Grant [656136]

Tilgjengelig fra: 2017-04-21 Laget: 2017-04-21 Sist oppdatert: 2017-04-21

Open Access i DiVA

Fulltekst mangler i DiVA

Andre lenker

Forlagets fulltekst

Søk i DiVA

Av forfatter/redaktør
Uddin, Gazi Salah
Av organisasjonen
I samme tidsskrift
International Review of Finance

Søk utenfor DiVA

GoogleGoogle Scholar

doi
urn-nbn

Altmetric

doi
urn-nbn
Totalt: 251 treff
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf