Markwat, T.D.

(Thijs Markwat)

market crash model return currency dependence strategy copula probability result table stock period portfolio journal exchange regime volatility structure interest 0.00 change strength trading correlation variable value level crash probabilities performance country prof.dr forecast finance parameter sharpe signi promotor stock markets ratio ﬀerent estimate distribution sample chartist currency markets contagion stock market crashes weight information / journal gaussian logit model likelihood europe approach logit estimation money sharpe ratios domino e ﬀect sharpe ratio ﬁcation forecasting nancial effect tail dependence domino market currencies interest rates speci report number domino effect signal trading rules mixture exchange rates equally-weighted figure

6 Most Recent Publications

Extreme Dependence in Asset Markets Around the Globe (Doctoral Thesis) Markwat, T.D.	2011-03-17
Contagion as a domino effect in global stock markets (Article) Markwat, T.D. Kole, H.J.W.G. Dijk, D.J.C. van	2009-11-01
Time Variation in Asset Return Dependence: Strength or Structure? (Research Paper) Markwat, T.D. Kole, H.J.W.G. Dijk, D.J.C. van	2009-10-20
The economic value of fundamental and technical information in emerging currency markets (Article) Zwart, G.J. de Markwat, T.D. Swinkels, L.A.P. Dijk, D.J.C. van	2009-06-01
Contagion as Domino Effect in Global Stock Markets (Research Paper) Markwat, T.D. Kole, H.J.W.G. Dijk, D.J.C. van	2008-11-05
The Economic Value of Fundamental and Technical Information in Emerging Currency Markets (Research Paper) Zwart, G.J. de Markwat, T.D. Swinkels, L.A.P. Dijk, D.J.C. van	2007-12-21

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