549
Views
44
CrossRef citations to date
0
Altmetric
Selected Papers from the Third Forum on Risk Management and Financial Statistics. Guest Editor: Zhenghui Li, Guangzhou University

Potential Dependence of Financial Cycles between Emerging and Developed Countries: Based on ARIMA-GARCH Copula Model

, &

References

  • Ahmad, W., A. V. Mishra, and K. Daly. 2018. Heterogeneous dependence and dynamic hedging between sectors of BRIC and global markets. International Review of Financial Analysis 59:117–33. doi:10.1016/j.irfa.2018.07.005.
  • Aikman, D., A. G. Haldane, and B. D. Nelson. 2015. Curbing the credit cycle. The Economic Journal 125 (585):1072–109. doi:10.1111/ecoj.12113.
  • Alessi, L., and C. Detken. 2011. Quasi real time early warning indicators for costly asset price boom/bust cycles: A role for global liquidity. European Journal of Political Economy 27 (3):520–33. doi:10.1016/j.ejpoleco.2011.01.003.
  • Aloui, R., M. S. B. Aïssa, and D. K. Nguyen. 2011. Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? Journal of Banking & Finance 35 (1):130–41. doi:10.1016/j.jbankfin.2010.07.021.
  • Anaya, P., M. Hachula, and C. J. Offermanns. 2017. Spillovers of U.S. unconventional monetary policy to emerging markets: The role of capital flows. Journal of International Money & Finance 73:275–95. doi:10.1016/j.jimonfin.2017.02.008.
  • Bai, X., and J. S. L. Lam. 2019. A copula-GARCH approach for analyzing dynamic conditional dependence structure between liquefied petroleum gas freight rate, product price arbitrage and crude oil price. Energy Economics 78:412–27. doi:10.1016/j.eneco.2018.10.032.
  • Bartram, S. M., and Y. H. Wang. 2015. European financial market dependence: An industry analysis. Journal of Banking & Finance 59:146–63. doi:10.1016/j.jbankfin.2015.06.002.
  • Bensaïda, A., S. Boubaker, and D. K. Nguyen. 2017. The shifting dependence dynamics between the G7 stock markets. Quantitative Finance 18 (5):801–12. doi:10.1080/14697688.2017.1419628.
  • Borio, C. 2014. The financial cycle and macroeconomics: What have we learnt? Journal of Banking & Finance 45 (8):182–98. doi:10.1016/j.jbankfin.2013.07.031.
  • Cherubini, U., E. Luciano, and W. Vecchiato. 2004. Copula methods in finance, . Chichester, UK: John Wiley & Sons.
  • Clayton, D. G. 1978. A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence. Biometrika 65:141–52. doi:10.2307/2335289.
  • Dong, H., Y. Liu, and J. Chang. 2019. The heterogeneous linkage of economic policy uncertainty and oil return risks. Green Finance 1 (1):46–66. doi:10.3934/GF.2019.1.46.
  • Frank, M. J. 1979. On the simultaneous associativity of F(x,y) and x+y-F(x,y). Aequationes Mathematicae 19:194–226. doi:10.1007/BF02189866.
  • Genest, C., K. Ghoudi, and L. P. Rivest. 1995. A semiparametric estimation procedure of dependence parameters in multivariate families of distributions. Biometrika 82 (3):543–552. doi:10.1093/biomet/82.3.543.
  • Gumbel, E. J. 1960. Bivariate exponential distributions. Journal of the American Statistical Association 55:698–707. doi:10.1080/01621459.1960.10483368.
  • Jiang, Y., C. Jiang, H. Nie, and B. Mo. 2019. The time-varying linkages between global oil market and China‘s commodity sectors: Evidence from DCC-GJR-GARCH analyses. Energy 166:577–86. doi:10.1016/j.energy.2018.10.116.
  • Joe, H. 1997. Multivariate models and dependence concepts. London: Chapman & Hall/CRC.
  • Kayalar, D. E., C. C. Küçüközmen, and A. S. Selcuk-Kestel. 2017. The impact of crude oil prices on financial market indicators: Copula approach. Energy Economics 61:162–73. doi:10.1016/j.eneco.2016.11.016.
  • Kocaarslan, B., R. Sari, A. Gormus, and U. Soytas. 2017. Dynamic correlations between BRIC and US stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets. Journal of Commodity Markets 7:41–56. doi:10.1016/j.jcomm.2017.08.001.
  • Kotkatvuori-Örnberg, J. 2016. Dynamic conditional copula correlation and optimal hedge ratios with currency futures. International Review of Financial Analysis 47:60–69. doi:10.1016/j.irfa.2016.06.006.
  • Lehkonen, H., and K. Heimonen. 2014. Timescale-dependent stock market comovement: BRICs vs. developed markets. Journal of Empirical Finance 28:90–103. doi:10.1016/j.jempfin.2014.06.002.
  • Li, Z., G. Liao, Z. Wang, and Z. Huang. 2018a. Green loan and subsidy for promoting clean production innovation. Journal of Cleaner Production 187:421–31. doi:10.1016/j.jclepro.2018.03.066.
  • Li, Z., Z. Wang, and Z. Huang. 2017. Modeling business cycle with financial shocks based on Kaldor-Kalecki model. Quantitative Finance and Economics 1 (1):44–66. doi:10.3934/QFE.2017.1.44.
  • Li, Z. H., H. Dong, Z. H. Huang, and P. Failler. 2018b. Asymmetric effects on risks of virtual financial assets (VFAs) in different regimes: A case of Bitcoin. Quantitative Finance and Economics 2 (4):860–83. doi:10.3934/QFE.2018.4.860.
  • Liu, Y., and G. Liao. 2017. The measurement and asymmetry tests of business cycle: Evidence from China. Quantitative Finance and Economics 1 (2):205–18. doi:10.3934/QFE.2017.2.205.
  • Ma, Y., and J. Zhang. 2016. Financial cycle, business cycle and monetary policy: Evidence from four major economies. International Journal of Finance & Economics 21 (4):502–27. doi:10.1002/ijfe.1566.
  • Menden, C., and C. R. Proaño. 2017. Dissecting the financial cycle with dynamic factor models. Quantitative Finance 17 (12):1965–94. doi:10.1080/14697688.2017.1357971.
  • Mensi, W., S. Hammoudeh, D. K. Nguyen, and S. H. Kang. 2016. Global financial crisis and spillover effects among the US and BRICS stock markets. International Review of Economics & Finance 42:257–76. doi:10.1016/j.iref.2015.11.005.
  • Mensi, W., S. Hammoudeh, J. C. Reboredo, and D. K. Nguyen. 2014. Do global factors impact BRICS stock markets? A quantile regression approach. Emerging Markets Review 19:1–17. doi:10.1016/j.ememar.2014.04.002.
  • Pontines, V. 2017. The financial cycles in four East Asian economies. Economic Modelling 65:51–66. doi:10.1016/j.econmod.2017.05.005.
  • Reboredo, J. C., and M. A. Rivera-Castro. 2013. A wavelet decomposition approach to crude oil price and exchange rate dependence. Economic Modelling 32:42–57. doi:10.1016/j.econmod.2012.12.028.
  • Schüler, Y. S., P. P. Hiebert, and T. A. Peltonen 2015. Characterising the financial cycle: A multivariate and time-varying approach. ECB Working Paper Series 1846, European Central Bank.
  • Shahzad, S. J. H., C. Aloui, R. Jammazi, and M. Shahbaz. 2019. Are Islamic bonds a good safe haven for stocks? Implications for portfolio management in a time-varying regime-switching copula framework. Applied Economics 51 (3):219–38. doi:10.1080/00036846.2018.1494376.
  • Vardar, G., Y. Coşkun, and T. Yelkenci. 2018. Shock transmission and volatility spillover in stock and commodity markets: Evidence from advanced and emerging markets. Eurasian Economic Review 2018 (8):1–58. doi:10.1007/s40822-018-0095-3.
  • Yang, L., X. J. Cai, M. Li, and S. Hamori. 2015. Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas. Economic Modelling 51:308–14. doi:10.1016/j.econmod.2015.08.017.
  • Zheng, Y. H., and S. M. Liu. 2017. A dynamic analysis of the business cycle model with a fixed time delay. Quantitative Finance and Economics 1 (2):174–83. doi:10.3934/QFE.2017.2.174.
  • Zhong, J., M. Wang, B. Drakeford, and T. Li. 2019. Spillover effects between oil and natural gas prices: Evidence from emerging and developed markets. Green Finance 1 (1):30–45. doi:10.3934/GF.2019.1.30.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.