Extreme Dependence under Uncertainty: an application to Stock, Currency and Oil Markets. (Downloadable article, 2016) [WorldCat.org]
skip to content
Extreme Dependence under Uncertainty: an application to Stock, Currency and Oil Markets. Preview this item
ClosePreview this item
Checking...

Extreme Dependence under Uncertainty: an application to Stock, Currency and Oil Markets.

Author: Stelios Bekiros; Gazi Salah Uddin
Publisher: [Oxford] : Blackwell Publishers, 2016.
Edition/Format:   Downloadable article : Document   Computer File : English
Publication:International review of finance
Summary:
Abstract: 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  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Material Type: Document
Document Type: Article, Computer File
All Authors / Contributors: Stelios Bekiros; Gazi Salah Uddin
ISSN:1369-412X
OCLC Number: 1016883025
Notes: In: International review of finance, Vol. 17, no. 1 (Mar. 2017), p.155-162.
Description: 1 online resource

Abstract:

Abstract: 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.

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.

Similar Items

Related Subjects:(2)

Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.