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  • Search: subject:"Copula function"
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Year of publication
Subject
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Multivariate distribution 2,655 Multivariate Verteilung 2,654 Theorie 1,395 Theory 1,395 Risikomaß 527 Risk measure 526 Statistical distribution 518 Statistische Verteilung 518 Portfolio selection 493 Portfolio-Management 493 Risikomanagement 428 Risk management 421 Capital income 406 Kapitaleinkommen 406 Zeitreihenanalyse 400 Time series analysis 398 Volatility 352 Volatilität 352 ARCH model 340 ARCH-Modell 340 Estimation 317 Copula 316 Schätzung 316 Estimation theory 305 Schätztheorie 305 Risk 261 Risiko 260 Kreditrisiko 253 Credit risk 250 Börsenkurs 247 Share price 247 Aktienmarkt 226 Stock market 226 Welt 210 World 210 Finanzkrise 205 Financial crisis 203 Correlation 199 Korrelation 199 Multivariate Analyse 195
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Online availability
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Undetermined 999 Free 977 CC license 107
Type of publication
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Article 1,773 Book / Working Paper 920
Type of publication (narrower categories)
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Article in journal 1,627 Aufsatz in Zeitschrift 1,627 Graue Literatur 418 Non-commercial literature 418 Arbeitspapier 403 Working Paper 403 Aufsatz im Buch 101 Book section 101 Hochschulschrift 71 Thesis 52 Collection of articles of several authors 15 Sammelwerk 15 Conference paper 13 Konferenzbeitrag 13 Collection of articles written by one author 12 Sammlung 12 Article 5 Aufsatzsammlung 5 Konferenzschrift 4 research-article 4 Conference proceedings 3 Mikroform 3 Amtsdruckschrift 2 Government document 2 Lehrbuch 2 Systematic review 2 Textbook 2 Übersichtsarbeit 2 Bibliografie 1 Bibliografie enthalten 1 Bibliography included 1 Festschrift 1 Rezension 1
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Language
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English 2,637 German 31 Undetermined 25 Czech 1 French 1
Author
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Okhrin, Ostap 43 Härdle, Wolfgang 25 Lucas, André 25 Smith, Michael S. 23 Tiwari, Aviral Kumar 22 Weiß, Gregor 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 Segers, Johan 17 Czado, Claudia 16 Hammoudeh, Shawkat 15 Hamori, Shigeyuki 15 Koopman, Siem Jan 15 Prokhorov, Artem 15 Zimmer, David M. 15 Chen, Xiaohong 14 Fermanian, Jean-David 14 Ghorbel, Ahmed 14 Songsak Sriboonchitta 14 Anatolyev, Stanislav 13 Fischer, Matthias 13 Romagnoli, Silvia 13 Bouri, Elie 12 Cherubini, Umberto 12 Dijk, Dick van 12 Fantazzini, Dean 12 Oh, Dong Hwan 12 Shi, Peng 12 Amengual, Dante 11 Embrechts, Paul 11 Heinen, Andréas 11 Ji, Qiang 11 Mensi, Walid 11 Nguyen, Duc Khuong 11 Okhrin, Yarema 11 Sentana, Enrique 11
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Institution
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National Bureau of Economic Research 4 Bergische Universität Wuppertal 2 Center for Economic Research <Tilburg> 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 World Scientific (Firm) 2 Centre for Economic Performance, LSE 1 Economics, Markets, Institutions, IMT Lucca Institute for Advanced Studies 1 Faculty of Economics, University of Cambridge 1 Friedrich-Schiller-Universität Jena 1 Institut für Future Energy Consumer Needs and Behavior (FCN), E.ON Energy Research Center 1 International Center for Financial Asset Management and Engineering 1 International Monetary Fund 1 Society for the Study of Economic Inequality - ECINEQ 1 Springer International Publishing 1 Thailand Econometric Society 1 Universiteit Antwerpen / Faculteit Toegepaste Economische Wetenschappen 1 University of California Davis / Department of Economics 1 Universität Bremen 1 Université Paris-Dauphine (Paris IX) 1 Uniwersytet Warszawski / Wydział Nauk Ekonomicznych 1 Workshop "Copulae in Mathematical and Quantitative Finance" <2012, Krakau> 1 Wydział Nauk Ekonomicznych, Uniwersytet Warszawski 1
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Published in...
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Insurance 100 Energy economics 59 Risks : open access journal 50 Applied economics 47 Economic modelling 41 European journal of operational research : EJOR 38 International review of financial analysis 37 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 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 Discussion paper / Tinbergen Institute 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 Discussion paper / Center for Economic Research, Tilburg University 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 Discussion paper 10 Econometrics : open access journal 10 The journal of credit risk : published quarterly by Incisive Media 10 Astin bulletin : the journal of the International Actuarial Association 9
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Source
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ECONIS (ZBW) 2,655 RePEc 28 EconStor 5 Other ZBW resources 5
Showing 281 - 290 of 2,693
Cover Image
Tie-break bootstrap for nonparametric rank statistics
Seo, Juwon - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 615-627
Persistent link: https://www.econbiz.de/10015053432
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Consistent estimation of multiple breakpoints in dependence measures
Borsch, Marvin; Mayer, Alexander; Wied, Dominik - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 695-706
Persistent link: https://www.econbiz.de/10015053446
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Investor sentiments and extreme risk spillovers from oil to stock markets : evidence from Asian countries
Wu, Fei; Ji, Qiang; Ma, Yan-Ran; Zhang, Dayong - In: Journal of the Asia Pacific economy 29 (2024) 3, pp. 1257-1283
Persistent link: https://www.econbiz.de/10015053452
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An assessment of copula functions approach in conjunction with factor model in portfolio credit risk management
Kao, Lie-Jane; Wu, Po-Cheng; Lee, Cheng F. - 2024
Persistent link: https://www.econbiz.de/10015045615
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Dynamic dependence and spillover among the energy related ETFs : from the hedging effectiveness perspective
Ji, Hao; Naeem, Muhammad; Zhang, Jing; Tiwari, Aviral Kumar - In: Energy economics 136 (2024), pp. 1-13
Persistent link: https://www.econbiz.de/10015046908
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Systemic risk, contagion and risk factors in the Tunisian banking system context : measures and determinants
Chakroun, Mohamed Amin; Gallali, Mohamed Imen - In: Afro-Asian Journal of Finance and Accounting : AAJFA 14 (2024) 2, pp. 246-280
Persistent link: https://www.econbiz.de/10014545417
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Forecasting day-ahead electricity prices with spatial dependence
Yang, Yifan; Guo, Ju'e; Li, Yi; Zhou, Jiandong - In: International journal of forecasting 40 (2024) 3, pp. 1255-1270
Persistent link: https://www.econbiz.de/10014547277
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Robust portfolio selection with subjective risk aversion under dependence uncertainty
Su, Xiaoshan; Li, Yuhan - In: Economic modelling 132 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014547968
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Assessing systemic risk spillovers from FinTech to China's financial system
Tian, Maoxi; El Khoury, Rim; Nasrallah, Nohade; … - In: The European journal of finance 30 (2024) 8, pp. 803–826
Persistent link: https://www.econbiz.de/10014547999
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Scenario generation for financial data with a machine learning approach based on realized volatility and copulas
Mesquita, Caio Mário; Valle, Cristiano Arbex; Pereira, … - In: Computational economics 63 (2024) 5, pp. 1879-1919
Persistent link: https://www.econbiz.de/10014550838
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