Search Results - subject:"Copula function"

Tail risk estimation using a Bayesian approach to R-vine copulas

Gruber, Lutz F. - In: Value Day 2012 : aktuelle Entwicklungen in Controlling, …, (pp. 133-145). 2012

Persistent link: https://www.econbiz.de/10009505519

Multivariate Modellierung operationeller Risiken in Kreditinstituten

Bayer, Verena - 2012 - 1. Aufl.

Persistent link: https://www.econbiz.de/10009505637

Analysing financial contagion and asymmetric market dependence with volatility indices via copulas

Yue Peng; Wing Lon Ng - In: Annals of finance 8 (2012) 1, pp. 49-74

Persistent link: https://www.econbiz.de/10009510581

Contributions to static and time-varying copula-based modeling of multivariate association : with applications to financial time-series

Ruppert, Martin - 2012 - 1. Aufl.

Persistent link: https://www.econbiz.de/10009511787

Optimal dynamic hedging strategy with futures oil markets via FIEGARCH-EVT copula models

Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International journal of managerial and financial accounting 4 (2012) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10009500227

On the invariant properties of notions of positive dependence and copulas under increasing transformations

Cai, Jun; Wei, Wei - In: Insurance 50 (2012) 1, pp. 43-49

Persistent link: https://www.econbiz.de/10009501702

International equity portfolio risk modeling : the case of the NIG model and ordinary copula functions

Kresta, Aleš; Tichý, Tomáš - In: Finance a úvěr 62 (2012) 2, pp. 141-161

Persistent link: https://www.econbiz.de/10009740501

Archimedean copulas and temporal dependence

Beare, Brendan K. - In: Econometric theory 28 (2012) 6, pp. 1165-1185

Persistent link: https://www.econbiz.de/10009743177

Copula models for insurance claim numbers with excess zeros and time-dependence

Zhao, Xiaobing; Zhou, Xian - In: Insurance: Mathematics and Economics 50 (2012) 1, pp. 191-199

This paper develops two copula models for fitting the insurance claim numbers with excess zeros and time-dependence. The joint distribution of the claims in two successive periods is modeled by a copula with discrete or continuous marginal distributions. The first model fits two successive...

Persistent link: https://www.econbiz.de/10010688105

THE TIMING OF PORTFOLIO ADJUSTMENTS: A REGIME-SWITCHING APPROACH

FAN, GUOBIN; ZENG, YONG - In: International Journal of Information Technology & … 11 (2012) 05, pp. 909-933

important implications for asset allocation. To describe these two features, this paper first combines a copula function with …

Persistent link: https://www.econbiz.de/10010616256