Cathy Ning

Ryerson University

Associate Professor

350 Victoria Street

Toronto, Ontario M5B 2K3

Canada

http://www.ryerson.ca/economics/faculty/ningc.html

SCHOLARLY PAPERS

6

DOWNLOADS

14

SSRN CITATIONS

0

CROSSREF CITATIONS

3

Scholarly Papers (6)

1.

Modeling the Leverage Effect with Copulas and Realized Volatility

Finance Research Letters 5 (2008) 221-227
Number of pages: 7 Posted: 31 Mar 2013 Last Revised: 26 Jan 2015
Cathy Ning, Dinghai Xu and Tony S. Wirjanto
Ryerson University, Independent and University of Waterloo - School of Accounting and Finance
Downloads 11 (693,870)

Abstract:

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Leverage effect, Copulas, Tail dependence, Realized volatility, High frequency data

2.

The Dependence Structure Between the Canadian Stock Market and the USD/CAD Exchange Rate: A Copula Approach

Canadian Journal of Economics/Revue canadienne d'économique, Vol. 43, No. 3, pp. 1016-1039, August/aout 2010
Number of pages: 24 Posted: 19 Jul 2010
Leo Michelis and Cathy Ning
Ryerson University - Department of Economics and Ryerson University
Downloads 2 (765,820)
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3.

The Dependence Structure between the Canadian Stock Market and the Usd/Cad Exchange Rate: A Copula Approach - La Structure De Dépendance Entre La Bourse Canadienne Et Le Taux De Change Canada/Eu: Une Approche Utilisant Une Fonction À Copule. 

Canadian Journal of Economics/Revue canadienne d'économique, Vol. 43, Issue 3, pp. 1016-1039, 2010
Number of pages: 24 Posted: 05 May 2020
Leo Michelis and Cathy Ning
Ryerson University - Department of Economics and Ryerson University
Downloads 1 (777,337)
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Abstract:

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4.

Dependence Structure between the Equity Market and the Foreign Exchange Market – A Copula Approach

Journal of International Money and Finance, Vol. 20, 2010
Posted: 26 Jan 2015
Cathy Ning
Ryerson University

Abstract:

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Copulas, Tail dependence, Dependence structure, GARCH, Stock return, Foreign exchange rate return

5.

Is Volatility Clustering of Asset Returns Asymmetric?

Journal of Banking and Finance, Vol. 52, 2015
Posted: 26 Jan 2015
Cathy Ning, Dinghai Xu and Tony S. Wirjanto
Ryerson University, Independent and University of Waterloo - School of Accounting and Finance

Abstract:

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Volatility clustering, Univariate time series copulas, Realized kernel volatility, Value-at-Risk

6.

Extreme Return-Volume Dependence in East-Asian Stock Markets: A Copula Approach

Finance Research Letters 6 (2009) 202–209
Posted: 31 Mar 2013
Cathy Ning and Tony S. Wirjanto
Ryerson University and University of Waterloo - School of Accounting and Finance

Abstract:

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Return–volume dependence, Extreme returns, Copulas, Tail dependence