Search Results - subject:"Copula function"

Mulivariate Reduced Rank Regression in Non-Gaussian Contexts, Using Copulas

Heinen, Andréas; Rengifo, Erick W. - 2005

We propose a new procedure to perform Reduced Rank Regression (RRR) in non-Gaussian contexts, based on Multivariate Dispersion Models. Reduced-Rank Multivariate Dispersion Models (RR-MDM) generalise RRR to a very large class of distributions, which include continuous distributions like the...

Persistent link: https://www.econbiz.de/10014067804

Measuring portfolio value-at-risk by a Copula-Evt based approach

Di Clemente, Annalisa; Romano, Claudio - In: Studi economici : rivista quadrimestrale 60 (2005) 1, pp. 29-57

Persistent link: https://www.econbiz.de/10003795532

Econometric analysis of financial count data and portfolio choice : a dynamic approach

Rengifo, Erick W. - 2005

Persistent link: https://www.econbiz.de/10003987160

Modern econometric analysis : theory and applications

Okimoto, Tatsuyoshi - 2005

Persistent link: https://www.econbiz.de/10003905688

A note on the large homogeneous portfolio approximation with the student-t copula

Schlögl, Lutz; O'Kane, Dominic - In: Finance and stochastics 9 (2005) 4, pp. 577-584

Persistent link: https://www.econbiz.de/10003133291

Kernel based goodness-of-fit tests for copulas with fixed smoothing parameters

Scaillet, Olivier (contributor) - 2005

Persistent link: https://www.econbiz.de/10003120209

Using copulas to model switching regimes with an application to child labour

Smith, Murray D. - In: The economic record : er 81 (2005) special issue, pp. S47-S57

Persistent link: https://www.econbiz.de/10003105600

Copula Methods in Finance.

Cherubini, Umberto - 2004 - 1st ed.

Copula Methods in Finance is the first book to address the mathematics of copula functions illustrated with finance applications. It explains copulas by means of applications to major topics in derivative pricing and credit risk analysis. Examples include pricing of the main exotic derivatives...

Persistent link: https://www.econbiz.de/10012688406

Measuring and optimizing portfolio credit risk : a Copula-based approach

Di Clemente, Annalisa; Romano, Claudio A. - In: Economic notes : economic review of Banca Monte dei … 33 (2004) 3, pp. 325-357

Persistent link: https://www.econbiz.de/10003690352

A survey of dependency modelling: copulas, tail dependence and estimation

Kiesel, Rüdiger; Schmidt, Rafael - In: Structured credit products : pricing, rating, risk …, (pp. 3-34). 2004

Persistent link: https://www.econbiz.de/10003283016

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