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~isPartOf:"Post-Print / HAL"
~subject:"Contagion"
~subject:"Level sets estimation"
~subject:"multivariate copulas"
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Contagion
Level sets estimation
multivariate copulas
Euro area
3
GDP
3
Multivariate risk
3
Vines
3
Background risk
2
Economic indicators
2
Forecast
2
VAR
2
economic indicators
2
energy prices
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model selection
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multivariate GARCH models
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multivariate probit
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risk management
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structural break
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Archimedean copulas
1
Asymptotic normality
1
Capital transfer
1
Carbon Emission Trading
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Carbon emission trading
1
DCC multivariate GARCH model
1
Disaggregation of harms
1
Generalized hyperbolic Distribution
1
Hyperbolic conversion functions
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Iterated compositions
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Kendall's tau
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Marginal propensity to consume
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Multivariate finite-time ruin probabilities
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Multivariate k nearest neighbor regression
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Multivariate k-Nearest Neighbor
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Multivariate k-nearest neighbor
1
Multivariate probability distortions
1
Multivariate regular variation
1
Multivariate risk measures
1
Multivariate risk sharing
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Non-Parametric Forecasts
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Optimal allocation
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Guegan, Dominique
4
Maugis, Pierre-André
4
Bazin, Damien
1
Bernardino, Elena Di
1
Boujelbène, Younes
1
Chihi-Bouaziz, Meriam
1
Hachicha, Nejib
1
Rullière, Didier
1
Selmi, Nadhem
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Journal of international financial markets, institutions & money
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Research in international business and finance
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The North American journal of economics and finance : a journal of financial economics studies
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Asia-Pacific journal of financial studies
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Documents de travail du Centre d'Economie de la Sorbonne
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Energy economics
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Insurance: Mathematics and Economics
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International Review of Financial Analysis
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International economics and economic policy : IEEP
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Journal of Financial Economic Policy
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of financial economic policy
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Journal of financial services research : JFSR
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Managerial finance
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Quantitative finance
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Review of world economics
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The journal of real estate finance and economics
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The quarterly review of economics and finance
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RePEc
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1
Distortions of
multivariate
distribution functions and associated level curves: applications in
multivariate
risk theory
Bernardino, Elena Di
;
Rullière, Didier
-
HAL
-
2013
In this paper, we propose a parametric model for
multivariate
distributions. The model is based on distortion functions …, i.e. some transformations of a
multivariate
distribution which permit to generate new families of
multivariate
… univariate optimizations, and we nally get parametric representations of both
multivariate
distribution functions and associated …
Persistent link: https://www.econbiz.de/10010820603
Saved in:
2
Testing for Contagion of the Subprime Financial Crisis under Asymmetric Dynamics
Selmi, Nadhem
;
Chihi-Bouaziz, Meriam
;
Hachicha, Nejib
; …
-
HAL
-
2013
error distribution, and compute dynamic conditional correlation coefficients of DCC
multivariate
GARCH model. Finally we …
Persistent link: https://www.econbiz.de/10010933789
Saved in:
3
An econometric Study for Vine Copulas
Guegan, Dominique
;
Maugis, Pierre-André
-
HAL
-
2011
structure is interesting to compute
multivariate
distributions for dependent random variables. We proove the asymptotic …
Persistent link: https://www.econbiz.de/10010635183
Saved in:
4
Note on new prospects on vines
Maugis, Pierre-André
;
Guegan, Dominique
-
HAL
-
2010
In this paper, we present a new methodology based on vine copulas to estimate
multivariate
distributions in high …
Persistent link: https://www.econbiz.de/10010603636
Saved in:
5
New Prospects on Vines
Guegan, Dominique
;
Maugis, Pierre-André
-
HAL
-
2010
In this paper, we present a new methodology based on vine copulas to estimate
multivariate
distributions in high …
Persistent link: https://www.econbiz.de/10010603639
Saved in:
6
An Econometric Study of Vine Copulas
Guegan, Dominique
;
Maugis, Pierre-André
-
HAL
-
2010
structure is interesting to compute
multivariate
distributions for dependent random variables. We proove the asymptotic …
Persistent link: https://www.econbiz.de/10010603691
Saved in:
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