Search Results - subject:"Copula function"

A multi-year microlevel collective risk model

Oh, Rosy; Jeong, Himchan; Ahn, Jae Youn; Valdez, Emiliano - In: Insurance / Mathematics & economics 100 (2021), pp. 309-328

Persistent link: https://www.econbiz.de/10012622396

Enhancing mine risk assessment through more accurate reproduction of correlations and interactions between uncertain variables

Ardian, Aldin; Kumral, Mustafa - In: Mineral economics : raw materials report 34 (2021) 3, pp. 411-425

Persistent link: https://www.econbiz.de/10012622875

Optimal look-back period for adequate and less procyclical credit capital forecasts

Lee, Yong Woong; Cho, Yongbok; Yang, Kisung - In: Applied economics 53 (2021) 46, pp. 5337-5353

Persistent link: https://www.econbiz.de/10012626877

Measuring systemic risk with a dynamic copula-based approach

Jang, Hyun Jin; Pan, Xiao; Park, Sumin - In: Applied economics 53 (2021) 50, pp. 5843-5863

Persistent link: https://www.econbiz.de/10012627102

New ways of modeling loan-to-income distributions and their evolution in time : a probability copula approach

Gerth, Florian; Temnov, Grigory - In: International review of economics & finance : IREF 71 (2021), pp. 217-236

Persistent link: https://www.econbiz.de/10012627775

Single-commodity versus joint hedging in cattle feeding cycle : Is Joint hedging always essential?

Fei, Chengcheng J.; Vedenov, Dmitry V.; Stevens, Reid B.; … - In: Journal of agricultural and resource economics : JARE ; … 46 (2021) 3, pp. 464-478

Persistent link: https://www.econbiz.de/10012672289

Quantile and Copula spectrum : a new approach to investigate cyclical dependence in economic time series

Dufrénot, Gilles; Matsuki, Takashi; Sugimoto, Kimiko - In: Recent econometric techniques for macroeconomic and …, (pp. 3-34). 2021

This chapter presents a survey of some recent methods used in economics and finance to account for cyclical dependence and account for their multifaced dynamics: nonlinearities, extreme events, asymmetries, non-stationarity, time-varying moments. To circumvent the caveats of the standard...

Persistent link: https://www.econbiz.de/10012395263

Flexible modelling of multivariate risks in pricing margin protection insurance : modelling portfolio risks with mixtures of mixtures

Moosavian, Seyyed Ali Zeytoon Nejad; Goodwin, Barry K. - In: Applied economics 53 (2021) 4, pp. 411-440

Persistent link: https://www.econbiz.de/10012416054

Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series

Kim, Jong-Min; Hwang, Sun Young - In: Applied economics 53 (2021) 4, pp. 506-520

Persistent link: https://www.econbiz.de/10012416072

Some robust approaches based on copula for monitoring bivariate processes and component-wise assessment

Song, Zhi; Mukherjee, Amitava; Zhang, Jiujun - In: European journal of operational research : EJOR 289 (2021) 1, pp. 177-196

Persistent link: https://www.econbiz.de/10012416302