Search Results - subject:"Copula function"

Vine copula approach to understand the financial dependence of the istanbul stock exchange index

Evkaya, Ozan; Gür, İsmail; Külekci, Bükre Yıldırım; … - In: Computational economics 64 (2024) 5, pp. 2935-2980

Persistent link: https://www.econbiz.de/10015144100

Evaluating density forecasts using weighted multivariate scores in a risk management context

Cheng, Jie - In: Computational economics 64 (2024) 6, pp. 3617-3643

Persistent link: https://www.econbiz.de/10015144255

Cryptocurrency portfolio optimization : utilizing a GARCH-copula model within the Markowitz framework

Jeleskovic, Vahidin; Latini, Claudio; Younas, Zahid Irshad - In: The journal of corporate accounting & finance 35 (2024) 4, pp. 139-155

Persistent link: https://www.econbiz.de/10015152922

Socially responsible multiobjective optimal portfolios

Sahamkhadam, Maziar; Stephan, Andreas - In: Journal of the Operational Research Society 75 (2024) 10, pp. 2065-2076

Persistent link: https://www.econbiz.de/10015188547

A flexible hierarchical insurance claims model with gradient boosting and copulas

Power, Justine; Côté, Marie-Pier; Duchesne, Thierry - In: North American actuarial journal : NAAJ ; leading the … 28 (2024) 4, pp. 772-800

Persistent link: https://www.econbiz.de/10015189573

Comparing and quantifying tail dependence

Siburg, Karl Friedrich; Strothmann, Christopher; Weiß, … - In: Insurance : mathematics and economics 118 (2024), pp. 95-103

Persistent link: https://www.econbiz.de/10015067023

"Wrong" skewness and endogenous regressors in stochastic frontier models : an instrument-free copula approach with an application to estimate firm efficiency in Vietnam

Haschka, Rouven E. - In: Journal of productivity analysis : an official journal … 62 (2024) 1, pp. 71-90

Persistent link: https://www.econbiz.de/10015120938

A weak MLMC scheme for Lévy-Copula-Driven SDEs with applications to the pricing of credit, equity and interest rate derivatives

Mijatović, Aleksandar; Palfray, Romain - In: Applied mathematical finance 31 (2024) 2, pp. 57-107

Persistent link: https://www.econbiz.de/10015415705

A generalization of the Topological Tail Dependence theory : from indices to individual stocks

Souto, Hugo Gobato; Moradi, Amir - 2024

This study investigates the Topological Tail Dependence (TTD) theory's applicability to individual stock volatility and high dimensions. Utilizing a comprehensive dataset from the S&P 100, the research employs various methodologies to test the predictions and implications of the TTD theory. The...

Persistent link: https://www.econbiz.de/10015418080

Dynamic correlation and hedging ability of precious metals in pre- and post-COVID periods

Ntare, hamdan Bukenya; Muteba Mwamba, John; Adekambi, Franck - In: Cogent economics & finance 12 (2024) 1, pp. 1-33

This study examines the dynamic correlations and hedge ratios of precious metal stock returns of the Johannesburg stock exchange in pre- and post-COVID scenarios to determine if they can be used to hedge against adverse market movements. The study uses daily return series of four gold stocks and...

Persistent link: https://www.econbiz.de/10015340286