Search Results - subject:"Copula function"

Modelling the bivariate dependence structure of exchange rates before and after the introduction of the Euro : a semi-parametric approach

Boero, Gianna; Silvapulle, Paramsothy; Tursunalieva, Ainura - In: International journal of finance & economics : IJFE 16 (2011) 4, pp. 357-374

Persistent link: https://www.econbiz.de/10009508876

Multivariate digital options with memory

Cherubini, Umberto; Romagnoli, Silvia - In: The European journal of finance 17 (2011) 7/8, pp. 649-660

Persistent link: https://www.econbiz.de/10009509839

Improving schedule reliability based on copulas : an application to fire of the most congested US airports

Diana, Tony - In: Journal of air transport management 17 (2011) 5, pp. 284-287

Persistent link: https://www.econbiz.de/10009408971

Multi-factor approach for pricing basket credit linked notes under issuer default risk

Wu, Po-cheng - In: The international journal of business and finance … 5 (2011) 4, pp. 115-128

Persistent link: https://www.econbiz.de/10009012625

Modeling multivariate interest rates using time-varying copulas and reducible nonlinear stochastic differential equations

Bu, Ruijun; Giet, Ludovic; Hadri, Kaddour; Lubrano, Michel - In: Journal of financial econometrics : official journal of … 9 (2011) 1, pp. 198-236

Persistent link: https://www.econbiz.de/10009125140

When is a copula constant? : a test for changing relationships

Busetti, Fabio; Harvey, Andrew C. - In: Journal of financial econometrics : official journal of … 9 (2011) 1, pp. 106-131

Persistent link: https://www.econbiz.de/10009125155

Copula bivariate probit models : with an application to medical expenditures

Winkelmann, Rainer - 2011

Persistent link: https://www.econbiz.de/10009492044

Copula bivariate probit models : with an application to medical expenditures

Winkelmann, Rainer - 2011

The bivariate probit model is frequently used for estimating the effect of an endogenous binary regressor (the "treatment") on a binary health outcome variable. This paper discusses simple modifications that maintain the probit assumption for the marginal distributions while introducing...

Persistent link: https://www.econbiz.de/10009739427

A Boundary Mixture Approach to Violations of Conditional Independence

Braeken, Johan - In: Psychometrika 76 (2011) 1, pp. 57-76

Persistent link: https://www.econbiz.de/10008925341

A tail dependence-based dissimilarity measure for financial time series clustering

Luca, Giovanni De; Zuccolotto, Paola - In: Advances in Data Analysis and Classification 5 (2011) 4, pp. 323-340

Persistent link: https://www.econbiz.de/10009404123

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