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Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications. (2016). Shahzad, Syed Jawad Hussain ; Kumar, Ronald ; Ameer, Saba ; Ali, Sajid ; Hussain, Syed Jawad.
In: Physica A: Statistical Mechanics and its Applications.
RePEc:eee:phsmap:v:457:y:2016:i:c:p:8-33.

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Cited: 15

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Cites: 60

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    In: IJFS.
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  2. Dynamic comovement and extreme risk spillovers between international crude oil and Chinas non-ferrous metal futures market. (2023). Zeng, Song ; Zhang, Tianding.
    In: Resources Policy.
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  3. Effects of macroeconomic factors on stock prices for BRICS using the variational mode decomposition and quantile method. (2023). Zhang, Shuguang ; Huang, Qian ; Wang, Xiangning.
    In: The North American Journal of Economics and Finance.
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  4. Evidence of Stock Market Contagion during the COVID-19 Pandemic: A Wavelet-Copula-GARCH Approach. (2021). Canepa, Alessandra ; Alqaralleh, Huthaifa.
    In: JRFM.
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  5. Dynamic Correlation and Risk Contagion Between “Black” Futures in China: A Multi-scale Variational Mode Decomposition Approach. (2020). Wang, Qunwei ; Zhou, Dequn ; Dai, Xingyu.
    In: Computational Economics.
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  6. Modeling Co-Movement among Different Agricultural Commodity Markets: A Copula-GARCH Approach. (2020). Wong, Wing-Keung ; Tang, Jiechen ; Yuan, Xinyu ; Sriboonchitta, Songsak.
    In: Sustainability.
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  7. Information dominance among hedging assets: Evidence from return and volatility directional spillovers in time and frequency domains. (2019). Shang, Yue ; Wei, QI ; Li, Xiafei ; Liu, Xinchun ; Zeng, Sheng.
    In: Physica A: Statistical Mechanics and its Applications.
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  8. Measuring financial interdependence in asset returns with an application to euro zone equities. (2018). Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee ; Martin, Vance L.
    In: CAMA Working Papers.
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  9. The nexus between geopolitical uncertainty and crude oil markets: An entropy-based wavelet analysis. (2018). Uddin, Gazi ; Bekiros, Stelios ; Ahmed, Ali.
    In: Physica A: Statistical Mechanics and its Applications.
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  10. A global network topology of stock markets: Transmitters and receivers of spillover effects. (2018). Shahzad, Syed Jawad Hussain ; Hussain, Syed Jawad ; Zakaria, Muhammad ; Al-Yahyaee, Khamis Hamed ; Ur, Mobeen ; Hernandez, Jose Areola.
    In: Physica A: Statistical Mechanics and its Applications.
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  11. The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method. (2018). Li, Xiafei ; Wei, YU.
    In: Energy Economics.
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  12. The dynamic interdependence of international financial markets: An empirical study on twenty-seven stock markets. (2017). Zhang, Xingwei ; Zheng, Xiaolong ; Zeng, Daniel Dajun .
    In: Physica A: Statistical Mechanics and its Applications.
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  13. Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches. (2017). Shahzad, Syed Jawad Hussain ; Mensi, walid ; Kumar, Ronald ; Hussain, Syed Jawad ; Nor, Safwan Mohd.
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  14. Oil and foreign exchange market tail dependence and risk spillovers for MENA, emerging and developed countries: VMD decomposition based copulas. (2017). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Mensi, walid ; Hammoudeh, Shawkat ; Hussain, Syed Jawad ; Al-Yahyaee, Khamis Hamed.
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  15. Co-movement of ASEAN stock markets: New evidence from wavelet and VMD-based copula tests. (2017). Jiang, Yonghong ; Monginsidi, Joe Yohanes ; Nie, HE.
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  43. Broker-dealer risk appetite and commodity returns. (2009). Etula, Erkko.
    In: Staff Reports.
    RePEc:fip:fednsr:406.

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  44. Money, liquidity, and monetary policy. (2009). Shin, Hyun Song ; Adrian, Tobias.
    In: Staff Reports.
    RePEc:fip:fednsr:360.

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  45. Collective Moral Hazard, Maturity Mismatch and Systemic Bailouts. (2009). Tirole, Jean ; Farhi, Emmanuel.
    In: Working Papers.
    RePEc:fem:femwpa:2009.57.

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  46. The Crux of the Matter: Ratings and Credit Risk Valuation at the heart of the Structured Finance Crisis. (2009). ROCHE, Adrian ; Aglietta, Michel ; Moreau, Ludovic .
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2009-3.

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  47. Chapter 2: The Financial Crisis. (2009). Vives, Xavier ; Sturm, Jan-Egbert ; Sinn, Hans-Werner ; Saint-Paul, Gilles ; Jenkinson, Tim ; Hassler, John ; Devereux, Michael ; Corsetti, Giancarlo.
    In: EEAG Report on the European Economy.
    RePEc:ces:eeagre:v::y:2009:i::p:59-122.

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  48. Global imbalances and the financial crisis. (2009). Hume, Michael ; Giese, Julia ; Kubelec, Chris ; Astley, Mark .
    In: Bank of England Quarterly Bulletin.
    RePEc:boe:qbullt:0001.

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  49. Financial Structure and the Impact of Monetary Policy on Asset Prices. (2008). Assenmacher, Katrin ; Gerlach, Stefan ; Assenmacher-Wesche, Katrin .
    In: Working Papers.
    RePEc:snb:snbwpa:2008-16.

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  50. Credit Crises, Risk Management Systems and Liquidity Modelling. (2008). Milne, Frank.
    In: Working Papers.
    RePEc:jdi:wpaper:1.

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