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

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  • Stelios Bekiros
  • Gazi Salah Uddin

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  • Stelios Bekiros & Gazi Salah Uddin, 2017. "Extreme Dependence under Uncertainty: an application to Stock, Currency and Oil Markets," International Review of Finance, International Review of Finance Ltd., vol. 17(1), pages 155-162, March.
    • Handle: RePEc:bla:irvfin:v:17:y:2017:i:1:p:155-162
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    File URL: http://hdl.handle.net/10.1111/irfi.12095
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    References listed on IDEAS

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    1. N. Bloom, 2016. "Fluctuations in uncertainty," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 4.
    2. Jeffrey Racine, 2015. "Mixed data kernel copulas," Empirical Economics, Springer, vol. 48(1), pages 37-59, February.
    3. Jean-David FERMANIAN & Olivier SCAILLET, 2003. "Nonparametric Estimation of Copulas for Time Series," FAME Research Paper Series rp57, International Center for Financial Asset Management and Engineering.
    4. Lubos Pástor & Pietro Veronesi, 2012. "Uncertainty about Government Policy and Stock Prices," Journal of Finance, American Finance Association, vol. 67(4), pages 1219-1264, August.
    5. Hayfield, Tristen & Racine, Jeffrey S., 2008. "Nonparametric Econometrics: The np Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 27(i05).
    6. Ben S. Bernanke, 1983. "Irreversibility, Uncertainty, and Cyclical Investment," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 98(1), pages 85-106.
    7. Nicholas Bloom, 2009. "The Impact of Uncertainty Shocks," Econometrica, Econometric Society, vol. 77(3), pages 623-685, May.
    8. Sumudu W. Watugala, 2015. "Economic Uncertainty and Commodity Futures Volatility," Working Papers 15-14, Office of Financial Research, US Department of the Treasury.
    9. David M. Zimmer, 2012. "The Role of Copulas in the Housing Crisis," The Review of Economics and Statistics, MIT Press, vol. 94(2), pages 607-620, May.
    10. James H. Stock & Mark W. Watson, 2012. "Disentangling the Channels of the 2007-2009 Recession," NBER Working Papers 18094, National Bureau of Economic Research, Inc.
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    Cited by:

    1. Yu, Lean & Zha, Rui & Stafylas, Dimitrios & He, Kaijian & Liu, Jia, 2020. "Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models," International Review of Financial Analysis, Elsevier, vol. 68(C).
    2. Stavros Degiannakis & George Filis, 2019. "Forecasting European economic policy uncertainty," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(1), pages 94-114, February.
    3. Gupta, Rangan & Yoon, Seong-Min, 2018. "OPEC news and predictability of oil futures returns and volatility: Evidence from a nonparametric causality-in-quantiles approach," The North American Journal of Economics and Finance, Elsevier, vol. 45(C), pages 206-214.
    4. Golab, Anna & Bannigidadmath, Deepa & Pham, Thach Ngoc & Thuraisamy, Kannan, 2022. "Economic policy uncertainty and industry return predictability – Evidence from the UK," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 433-447.
    5. Mokni, Khaled & Al-Shboul, Mohammed & Assaf, Ata, 2021. "Economic policy uncertainty and dynamic spillover among precious metals under market conditions: Does COVID-19 have any effects?," Resources Policy, Elsevier, vol. 74(C).
    6. Naqvi, Bushra & Mirza, Nawazish & Umar, Muhammad & Rizvi, Syed Kumail Abbas, 2023. "Shanghai crude oil futures: Returns Independence, volatility asymmetry, and hedging potential," Energy Economics, Elsevier, vol. 128(C).
    7. Yu, Xiaoling & Huang, Yirong, 2021. "The impact of economic policy uncertainty on stock volatility: Evidence from GARCH–MIDAS approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 570(C).
    8. Meng, Xiangcai & Huang, Chia-Hsing, 2019. "The time-frequency co-movement of Asian effective exchange rates: A wavelet approach with daily data," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 131-148.
    9. Zheng Shi & Dongmin Kong, 2021. "Oil Price-Stock Market Nexus During the COVID-19 Pandemic - Evidence From China," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 2(4), pages 1-4.
    10. Zheng Shi & Dongmin Kong, 2021. "Oil Price-Stock Market Nexus During the COVID-19 Pandemic - Evidence From China," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 2(4), pages 1-4.

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