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Search: subject:"Copula function"
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2,655
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Okhrin, Ostap
43
Härdle, Wolfgang
25
Lucas, André
25
Smith, Michael S.
23
Tiwari, Aviral Kumar
22
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21
Reboredo, Juan Carlos
20
Patton, Andrew J.
19
Einmahl, John H. J.
17
Kim, Jong-Min
17
Manner, Hans
17
Ning, Cathy Q.
17
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17
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16
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15
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15
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15
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15
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15
Chen, Xiaohong
14
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14
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14
Songsak Sriboonchitta
14
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13
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12
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12
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12
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12
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11
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Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
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Workshop "Copulae in Mathematical and Quantitative Finance" <2012, Krakau>
1
Wydział Nauk Ekonomicznych, Uniwersytet Warszawski
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Energy economics
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47
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41
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38
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37
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35
Journal of banking & finance
32
The North American journal of economics and finance : a journal of financial economics studies
32
Finance research letters
30
Journal of econometrics
30
SFB 649 discussion paper
27
Journal of risk and financial management : JRFM
24
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23
The European journal of finance
23
Computational economics
22
Journal of risk
22
International review of economics & finance : IREF
20
Applied economics letters
17
Economics letters
17
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16
International journal of theoretical and applied finance
16
Journal of empirical finance
16
Research in international business and finance
16
Econometric reviews
15
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
15
Journal of international financial markets, institutions & money
14
International journal of forecasting
13
Scandinavian actuarial journal
13
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
13
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
12
Quantitative finance
12
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Journal of international money and finance
11
The journal of futures markets
11
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Astin bulletin : the journal of the International Actuarial Association
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ECONIS (ZBW)
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RePEc
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EconStor
5
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2481
Combining random forest and copula functions : a heuristic approach for selecting assets from a financial crisis perspective
De Luca, Giovanni
;
Rivieccio, Giorgia
;
Zuccolotto, Paola
- In:
Intelligent systems in accounting finance and …
17
(
2010
)
2
,
pp. 91-109
Persistent link: https://www.econbiz.de/10008699188
Saved in:
2482
A nonparametric symmetry test for absolutely continuous bivariate copulas
Erdely, Arturo
;
González-Barrios, José M.
- In:
Statistical methods & applications : SMA ; journal of …
19
(
2010
)
4
,
pp. 541-565
Persistent link: https://www.econbiz.de/10008728772
Saved in:
2483
Stress testing of retail mortgages : a study based on non-stationary Markov chains and t-copula simulation
Liu, Chang
;
Guo, Min
;
Nassar, Raja
- In:
The journal of risk model validation
4
(
2010/11
)
2
,
pp. 65-80
Persistent link: https://www.econbiz.de/10003995413
Saved in:
2484
A new graphical tool for copula selection
Michiels, Frederik
;
De Schepper, Ann
-
2010
Persistent link: https://www.econbiz.de/10003996145
Saved in:
2485
Copula based simulation procedures for pricing collateralised debt obligations
Abid, Fathi
;
Naifar, Nader
- In:
International journal of applied management science
2
(
2010
)
3
,
pp. 239-261
Persistent link: https://www.econbiz.de/10008646952
Saved in:
2486
Pricing of CDOs based on the multivariate Wang transform
Kijima, Masaaki
;
Motomiya, Shin-ichi
;
Suzuki, Yoichi
- In:
Journal of economic dynamics & control
34
(
2010
)
11
,
pp. 2259-2272
Persistent link: https://www.econbiz.de/10009008889
Saved in:
2487
Applying a factor copula to value basket credit linked notes with issuer default risk
Wu, Po-cheng
- In:
Finance research letters
7
(
2010
)
3
,
pp. 178-183
Persistent link: https://www.econbiz.de/10009272755
Saved in:
2488
A versatile copula and its application to risk measures
Shim, Jeungbo
;
Lee, Eun-joo
;
Lee, Seung-Hwan
- In:
International journal of business and economics
9
(
2010
)
3
,
pp. 213-231
Persistent link: https://www.econbiz.de/10008933251
Saved in:
2489
Joint characteristic functions construction via copulas
Komelj, Janez
;
Perman, Mihael
- In:
Insurance
47
(
2010
)
2
,
pp. 137-143
Persistent link: https://www.econbiz.de/10008654265
Saved in:
2490
Out-of-sample comparison of copula specifications in multivariate density forecasts
Diks, Cees G. H.
;
Panchenko, Valentyn
;
Dijk, Dick van
- In:
Journal of economic dynamics & control
34
(
2010
)
9
,
pp. 1596-1609
Persistent link: https://www.econbiz.de/10009125848
Saved in:
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