The Price of Asymmetric Dependence

2008 ◽  
Author(s):  
Jamie Alcock ◽  
Anthony Hatherley
Keyword(s):  
Asymmetric Dependence

scholarly journals Asymmetric Dependence Analysis of International Crude Oil Spot and Futures Based on the Time Varying Copula-GARCH

2015 ◽  
Vol 8 (1) ◽  
pp. 463-467
Author(s):  
He Xin ◽  
Zhang Jun
Keyword(s):  
Parameter Estimation ◽  
Crude Oil ◽  
Significant Influence ◽  
Tail Dependence ◽  
Sliding Window ◽  
Dependence Structure ◽  
Dependence Analysis ◽  
Time Varying ◽  
Daily Return ◽  
Asymmetric Dependence

Taking daily return of international crude oil spot and futures as sample, this paper analyzed the time varying and asymmetric dependence structure of them by time varying Copula-GARCH model based on sliding window and semi parameter estimation. This paper analyzed the regular changing between dependence structure of crude oil spot and futures and the return fluctuation, and confirmed that there is significant time varying asymmetric tail dependence. This paper found that the size of the sliding window had no significant influence on the conclusion, and the data of weekly return is more suitable for analysis of the trend of dependence structure of spot.

A test of general asymmetric dependence

2018 ◽  
Vol 33 (7) ◽  
pp. 1026-1043
Author(s):  
Lei Jiang ◽  
Esfandiar Maasoumi ◽  
Jiening Pan ◽  
Ke Wu
Keyword(s):  
Asymmetric Dependence

scholarly journals Asymmetric dependence in international currency markets

2019 ◽  
Vol 26 (10) ◽  
pp. 994-1017 ◽  
Author(s):  
Nikos Paltalidis ◽  
Victoria Patsika
Keyword(s):  
Currency Markets ◽  
International Currency ◽  
Asymmetric Dependence

A Dilemma for Asymmetric Dependence

Noûs ◽  
2003 ◽  
Vol 37 (2) ◽  
pp. 232-257
Author(s):  
Joseph Mendola
Keyword(s):  
Asymmetric Dependence
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