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  • Search: subject:"Copula Models"
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Year of publication
Subject
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Multivariate Verteilung 46 Multivariate distribution 46 Copula models 26 Theorie 22 Theory 22 copula models 18 Capital income 15 Kapitaleinkommen 15 Risikomaß 15 Risk management 15 Risikomanagement 14 Risk measure 14 Portfolio selection 12 Portfolio-Management 12 Statistical distribution 12 Statistische Verteilung 12 Volatility 11 Volatilität 11 Aktienmarkt 10 Schätzung 10 Stock market 10 Börsenkurs 9 Credit risk 8 Estimation 8 Share price 8 Copula Models 7 Kreditrisiko 7 Correlation 6 Estimation theory 6 Financial crisis 6 Finanzmarkt 6 Korrelation 6 Schätztheorie 6 Welt 6 World 6 ARCH-Modell 5 Financial market 5 Finanzkrise 5 Forecasting model 5 Markov chain 5
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Online availability
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Undetermined 40 Free 26 CC license 4
Type of publication
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Article 57 Book / Working Paper 16 Other 1
Type of publication (narrower categories)
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Article in journal 44 Aufsatz in Zeitschrift 44 Working Paper 6 Arbeitspapier 4 Article 3 Graue Literatur 3 Non-commercial literature 3 Aufsatz im Buch 1 Book section 1 Thesis 1
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Language
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English 59 Undetermined 15
Author
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Gupta, Rangan 5 Majumdar, Anandamayee 4 Goodwin, Barry K. 3 Hofert, Marius 3 Horta, Paulo 3 Kim, Jong-Min 3 Koike, Takaaki 3 Lopez, Olivier 3 Pircalabu, Anca 3 Shemyakin, Arkady 3 Trück, Stefan 3 Wang, Antai 3 Araichi, Sawssen 2 Christensen, Troels Sønderby 2 Dionísio, Andreia Teixeira Marques 2 Ferreira, Paulo 2 Gronwald, Marc 2 Herbertsson, Alexander 2 Holt, Matthew T. 2 Jang, Hyuna 2 Ketterer, Janina 2 Kumerow, John 2 Lagoa, Sérgio 2 Mohti, Wahbeeah 2 Noh, Hohsuk 2 Onel, Gulcan 2 Peters, Gareth W. 2 Prestemon, Jeffrey P. 2 Reichert, Katja 2 Serra, Teresa 2 Shevchenko, Pavel V. 2 Targino, Rodrigo S. 2 Tinkl, Fabian 2 Vieira, Isabel 2 Wifvat, Kathryn 2 Ajina, Rawan 1 Almulhim, Tarifa 1 Ames, Matthew 1 Ansaram, Karishma 1 Ardakani, Omid M. 1
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Institution
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Agricultural and Applied Economics Association - AAEA 1 CESifo 1 COMISEF 1 Computer Science 1 Department of Economics, Faculty of Economic and Management Sciences 1 Dipartimento di Economia, Università degli Studi di Roma 3 1 Institut de Préparation à l'Administration et à la Gestion (IPAG) 1 International Association of Agricultural Economists - IAAE 1 Vanderbilt University Department of Economics 1 Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg 1
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Published in...
All
Applied economics 5 Energy economics 3 Risks : open access journal 3 Economic modelling 2 Finance research letters 2 Insurance / Mathematics & economics 2 Insurance: Mathematics and Economics 2 International journal of forecasting 2 International review of financial analysis 2 Journal of Multivariate Analysis 2 Risks 2 Working papers in economics 2 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 1 2012 Conference, August 18-24, 2012, Foz do Iguacu, Brazil 1 American journal of agricultural economics 1 Applied economics letters 1 Astin bulletin : the journal of the International Actuarial Association 1 Australasian accounting business and finance journal : AABF 1 CESifo Working Paper 1 CESifo Working Paper Series 1 China & world economy 1 Departmental Working Papers of Economics - University 'Roma Tre' 1 Economies 1 Economies : open access journal 1 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 1 Energy Policy 1 Energy strategy reviews 1 European journal of operational research : EJOR 1 IMA journal of management mathematics 1 IWQW Discussion Paper Series 1 IWQW Discussion Papers 1 International Journal of Biostatistics 1 International Review of Financial Analysis 1 International journal of financial engineering and risk management 1 Journal of financial econometrics 1 Journal of international money and finance 1 Journal of marketing research : JMR 1 Journal of multinational financial management 1 Pacific-Basin finance journal 1 Review of managerial science 1
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Source
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ECONIS (ZBW) 49 RePEc 17 EconStor 5 BASE 2 Other ZBW resources 1
Showing 31 - 40 of 74
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A censored copula model for micro-level claim reserving
Lopez, Olivier - In: Insurance / Mathematics & economics 87 (2019), pp. 1-14
Persistent link: https://www.econbiz.de/10012058903
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Evaluation of Credit Risk Under Correlated Defaults: The Cross-Entropy Simulation Approach
Mastroeni, Loretta; D'Acquisto, Giuseppe; Naldi, Maurizio - Dipartimento di Economia, Università degli Studi di Roma 3 - 2014
Credit risk, associated to borrowers defaulting on their debts, is an ever growing source of concern for lenders. The presence of correlation among defaults may be described by the t-copula model. However, the typically large number of variables involved calls for a simulation approach. A...
Persistent link: https://www.econbiz.de/10011095370
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Forecasting US Real House Price Returns over 1831-2013: Evidence from Copula Models
Gupta, Rangan; Majumdar, Anandamayee - Institut de Préparation à l'Administration et à la … - 2014
the period of 1831-2013, this paper compares the ability of various univariate copula models, relative to standard …-2013, based on an in-sample of 1831-1858. Overall, our results provide overwhelming evidence in favor of the copula models (Normal …
Persistent link: https://www.econbiz.de/10010929406
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Forecasting US real house price returns over 1831 - 2013 : evidence from copula models
Gupta, Rangan; Majumdar, Anandamayee - 2014
Persistent link: https://www.econbiz.de/10010432202
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Modelling the dependence structure between Australian equity and real estate markets : a copula approach
Rong, Ning; Trück, Stefan - In: Australasian accounting business and finance journal : AABF 8 (2014) 5, pp. 93-113
Persistent link: https://www.econbiz.de/10010520425
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On the spatial hedging effectiveness of German wind power futures for wind power generators
Christensen, Troels Sønderby; Pircalabu, Anca - In: The journal of energy markets 11 (2018) 3, pp. 71-96
Persistent link: https://www.econbiz.de/10012001939
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Time-varying dependence structures of equity markets of China, ASEAN and the USA
Li, Baoxia; Zeng, Zhi - In: Applied economics letters 25 (2018) 2, pp. 87-91
Persistent link: https://www.econbiz.de/10011853697
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Global and extreme dependence between investor sentiment and stock returns in European markets
Horta, Paulo; Lobão, Júlio - In: The journal of behavioral finance : a publication of … 19 (2018) 2, pp. 141-158
Persistent link: https://www.econbiz.de/10012009645
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Portfolio optimization based on GARCH-EVT-Copula forecasting models
Sahamkhadam, Maziar; Stephan, Andreas; Östermark, Ralf - In: International journal of forecasting 34 (2018) 3, pp. 497-506
Persistent link: https://www.econbiz.de/10012031027
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Score-driven copula models for portfolios of two risky assets
Ayala, Astrid; Blazsek, Szabolcs - In: The European journal of finance 24 (2018) 18, pp. 1861-1884
Persistent link: https://www.econbiz.de/10012259236
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