Search Results - subject:"Copula function"

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On the systemic nature of weather risk

Xu, Wei; Filler, Guenther; Odening, Martin; Okhrin, Ostap - In: Agricultural finance review 70 (2010) 2, pp. 267-284

Persistent link: https://www.econbiz.de/10008737453

Copulas and risk measures for strategic asset allocation : a case study for central banks and sovereign wealth funds

Caillault, Cyril; Monier, Stéphane - In: Interest rate models, asset allocation and quantitative …, (pp. 158-177). 2010

Persistent link: https://www.econbiz.de/10008746615

Extracting information from structured credit markets

Noss, Joseph - 2010

Structured credit instruments offer an insight into markets' perceptions of the extent of future credit defaults. Claims of different seniorities incur losses only if defaults reach different magnitudes, so their relative value offers an insight into the likelihood of losses being of different...

Persistent link: https://www.econbiz.de/10008747094

Modelling the participation decision and duration of sporting activity in Scotland

Eberth, Barbara; Smith, Murray D. - In: Economic modelling 27 (2010) 4, pp. 822-834

Persistent link: https://www.econbiz.de/10008747685

A copula-VAR-X approach for industrial production modelling and forecasting

Bianchi, Carluccio; Carta, Alessandro; Fantazzini, Dean; … - In: Applied economics 42 (2010) 25/27, pp. 3267-3277

Persistent link: https://www.econbiz.de/10008748842

An improved implied copula model and its application to the valuation of bespoke CDO tranches

Hull, John; White, Alan - In: Journal of investment management : JOIM 8 (2010) 3, pp. 11-31

Persistent link: https://www.econbiz.de/10008654919

Cross asset portfolio derivatives

Höcht, Stephan; Scherer, Matthias; Seegerer, Philip - In: Alternative investments and strategies : credit, …, (pp. 175-197). 2010

Persistent link: https://www.econbiz.de/10008655203

The dependence structure between the Canadian stock market and the USD/CAD exchange rate : a copula approach

Michelis, Leo; Ning, Cathy Q. - In: The Canadian journal of economics 43 (2010) 3, pp. 1016-1039

Persistent link: https://www.econbiz.de/10008662175

Modeling extreme returns and asymmetric dependence structures of hedge fund strategies using extreme value theory and copula theory

Viebig, Jan; Poddig, Thorsten - In: Journal of risk 13 (2010/11) 2, pp. 23-55

Persistent link: https://www.econbiz.de/10008807871

Generalized diagonal band copulas with two-sided generating densities

Kotz, Samuel; Dorp, Johan René van - In: Decision analysis : a journal of the Institute for … 7 (2010) 2, pp. 196-214

Persistent link: https://www.econbiz.de/10003980629

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