Search Results - subject:"Copula Models"

Dynamic copula-based Markov chains at work: Theory, testing and performance in modeling daily stock returns

Tinkl, Fabian; Reichert, Katja - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 2011

We generalize the score test for time-varying copula parameters proposed by [Abegaz & Naik-Nimbalkar, 2008] to a setting where more than one-parametric copulas can be tested for time variation in at least one parameter. In a next step we model the daily log returns of the Commerzbank stock using...

Persistent link: https://www.econbiz.de/10009228823

The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis

Gronwald, Marc; Ketterer, Janina; Trück, Stefan - CESifo - 2011

This paper applies different copulas in order to investigate the complex dependence structure between EU emission allowance (EUA) futures returns and those of other commodities, equity and energy indices. The analysis yields important insights into the relationship between carbon, commodities...

Persistent link: https://www.econbiz.de/10008914281

Copula-Based Nonlinear Models of Spatial Market Linkages

Goodwin, Barry K.; Holt, Matthew T.; Onel, Gulcan; … - Agricultural and Applied Economics Association - AAEA - 2011

Replaced with revised version of paper 06/28/11.

Persistent link: https://www.econbiz.de/10009021057

The impact of 2008 financial crisis on the efficiency and contagion of Asian stock markets : a Hurst exponent approach

Jin, Xiaoye - In: Finance research letters 17 (2016), pp. 167-175

Persistent link: https://www.econbiz.de/10011596277

Extreme dependence in price transmission analysis

Qiu, Feng; Rude, James - In: Applied economics 48 (2016) 46/48, pp. 4379-4392

Persistent link: https://www.econbiz.de/10011640095

On Computational Methods for the Valuation of Credit Derivatives

Zhang, Wanhe - 2010

forward-starting BDS.Current factor copula models are static and fail to calibrate consistently against market quotes. To …-period factor copula models. This allows the default correlations to be time-dependent, thereby allowing the model to fit market … quotes consistently. Previously developed multi-period factor copula models require multi-dimensional integration, usually …

Persistent link: https://www.econbiz.de/10009455259

Exact Maximum Likelihood Estimation for Copula Models

Zhang, Jin; Ng, Wing Long - COMISEF - 2010

estimation of more complicated copula models such as high-dimensional copulas. Our experimental study shows that the proposed …

Persistent link: https://www.econbiz.de/10008506026

Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models

Targino, Rodrigo S.; Peters, Gareth W.; Shevchenko, Pavel V. - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 206-226

In this paper we assume a multivariate risk model has been developed for a portfolio and its capital derived as a homogeneous risk measure. The Euler (or gradient) principle, then, states that the capital to be allocated to each component of the portfolio has to be calculated as an expectation...

Persistent link: https://www.econbiz.de/10011263853

Capital allocation in credit portfolios in a multi-period setting : a literature review and practical guidelines

Pfister, Tamara; Utz, Sebastian; Wimmer, Maximilian - In: Review of managerial science 9 (2015) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10010472490

Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models

Targino, Rodrigo S.; Peters, Gareth W.; Shevchenko, Pavel V. - In: Insurance / Mathematics & economics 61 (2015), pp. 206-226

Persistent link: https://www.econbiz.de/10010515883