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Search: subject_exact:"Copula function"
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USA
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Anatolyev, Stanislav
9
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9
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8
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8
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7
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7
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6
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ECONIS (ZBW)
436
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31
A new model for forecasting VaR and ES using intraday returns aggregation
Song, Shijia
;
Li, Handong
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1039-1054
Persistent link: https://www.econbiz.de/10014338800
Saved in:
32
The stable tail dependence and influence among the European stock markets : a score-driven dynamic copula approach
Barnett, William A.
;
Wang, Xue
;
Xu, Hai-Chuan
;
Zhou, …
- In:
The European journal of finance
29
(
2023
)
16
,
pp. 1933-1956
Persistent link: https://www.econbiz.de/10014388527
Saved in:
33
Diversification benefits of commodities in portfolio allocation : a dynamic factor copula approach
Gaete, Michael
;
Herrera, Rodrigo
- In:
Journal of commodity markets
32
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014495646
Saved in:
34
GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets
Yao, Can-Zhong
;
Li, Min-Jian
- In:
The North American journal of economics and finance : a …
66
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014483642
Saved in:
35
Volatility spillover effect between Pakistan and Shanghai Stock Exchanges using copula and dynamic conditional correlation model
Afzal, Fahim
;
Choudhury, Tonmoy
;
Kamran, Muhammad
- In:
International journal of Islamic and Middle Eastern …
16
(
2023
)
1
,
pp. 59-80
Persistent link: https://www.econbiz.de/10014339621
Saved in:
36
Measuring dependence in a set of asset returns
Madan, Dilip B.
;
Wang, King
- In:
Asia Pacific financial markets
30
(
2023
)
2
,
pp. 363-385
Persistent link: https://www.econbiz.de/10014342359
Saved in:
37
Portfolio management using time-varying vine copula : an application on the G7 equity market indices
Nguyen, Phong Minh
;
Liu, Wei-Han
- In:
The European journal of finance
29
(
2023
)
11
,
pp. 1303-1329
Persistent link: https://www.econbiz.de/10014323006
Saved in:
38
Incorporating ESG into optimal stock portfolios for the global timber & forestry industry
Lööf, Hans
;
Sahamkhadam, Maziar
;
Stephan, Andreas
- In:
Journal of forest economics : JFE
38
(
2023
)
2
,
pp. 133-157
Persistent link: https://www.econbiz.de/10014323531
Saved in:
39
Downside risk and portfolio optimization of energy stocks : a study on the extreme value theory and the vine copula approach
Karmakar, Madhusudan
;
Paul, Samit
- In:
The energy journal
44
(
2023
)
2
,
pp. 139-179
Persistent link: https://www.econbiz.de/10014249083
Saved in:
40
Risk spillovers from China's and the US stock markets during high-volatility periods : evidence from East Asianstock markets
Wang, Bo
;
Xiao, Yang
- In:
International review of financial analysis
86
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014249132
Saved in:
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