Search Results - subject:"Copula function"

From classes to copulas : wages, capital, and top incomes

Aaberge, Rolf; Atkinson, Anthony B.; Königs, Sebastian - In: Journal of economic inequality 16 (2018) 2, pp. 295-320

Persistent link: https://www.econbiz.de/10012055062

Dynamic dependence structure between energy markets and the Italian stock index

Masala, Giovanni - In: Investment management and financial innovations 15 (2018) 2, pp. 60-67

Persistent link: https://www.econbiz.de/10012055096

Dynamic hedging with futures : a copula-based GARCH model with high-frequency data

Lai, Yu-Sheng - In: Review of derivatives research 21 (2018) 3, pp. 307-329

Persistent link: https://www.econbiz.de/10012055744

Relationship between stock and currency markets conditional on the US stock returns : a vine copula approach

Tachibana, Minoru - In: Journal of multinational financial management 46 (2018), pp. 75-106

Persistent link: https://www.econbiz.de/10012055790

Equity market neutral hedge funds and the stock market : an application of score-driven copula models

Ayala, Astrid; Blazsek, Szabolcs - In: Applied economics 50 (2018) 37, pp. 4005-4023

Persistent link: https://www.econbiz.de/10012060246

A macroeconomic reverse stress test

Grundke, Peter; Pliszka, Kamil - In: Review of quantitative finance and accounting 50 (2018) 4, pp. 1093-1130

Persistent link: https://www.econbiz.de/10011979359

Asymetric Dependence in Finance : Diversification, Correlation and Portfolio Management in Market Downturns

Alcock, Jamie (ed.); Satchell, Stephen (ed.) - 2018

Cover -- Title Page -- Copyright -- Contents -- About the Editors -- Introduction -- Chapter 1: Disappointment Aversion, Asset Pricing and Measuring Asymmetric Dependence -- 1.1 Introduction -- 1.2 From Skiadas Preferences to Asset Prices -- 1.3 Consistently Measuring Asymmetric Dependence --...

Persistent link: https://www.econbiz.de/10011841506

Dependence structure among international stock markets : a GARCH–copula analysis

Yang, Lu; Hamori, Shigeyuki - In: Applied financial economics 23 (2013) 22/24, pp. 1805-1817

Persistent link: https://www.econbiz.de/10010337261

Collateralized Debt Obligations´ Valuation Using the One Factor Gaussian Copula Model

Buzková, Petra; Teplý, Petr - In: Prague Economic Papers 2012 (2012) 1, pp. 30-49

The aim of this paper is to shed light on Collateralized Debt Obligation (CDO) valuation based on data before and during the 2007-2009 global turmoil. We present the One Factor Gaussian Copula Model and examine five hypotheses regarding CDO sensitivity to entry parameters. For our modelling we...

Persistent link: https://www.econbiz.de/10011195583

A Bivariate Copula-based Model for a Mixed Binary-Continuous Distribution: A Time Series Approach

Bień-Barkowska, Katarzyna - In: Central European Journal of Economic Modelling and … 4 (2012) 2, pp. 117-142

between both processes can be flexibly captured via a copula function. We propose a method for testing the goodness-offit of …

Persistent link: https://www.econbiz.de/10010875630