Search Results - subject:"Copula functions"

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Copulas and dependence models in credit risk: diffusions versus jumps

Luciano, Elisa - Volkswirtschaftliche Fakultät, … - 2006

The most common approach for default dependence modelling is at present copula functions. Within this framework, the …

Persistent link: https://www.econbiz.de/10011112927

Wieweit tragen rationale Modelle in der Finanzmarktforschung?

Franke, Günter; Weber, Thomas - 2006

In diesem Beitrag wird untersucht, inwieweit Erkenntnisse des Behavioral Finance erforderlich sind, um einerseits das kundenbezogene Wertpapiergeschäft von Banken und andererseits die Preisbildung auf Kapitalmärkten zu untersuchen. Es wird dargelegt, daß das kundenbezogene Wertpapiergeschäft...

Persistent link: https://www.econbiz.de/10010324162

Estimating liquidity using information on the multivariate trading process

Bien, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried - Zakład Ekonometrii Stosowanej, Szkoła Główna … - 2006

depths. We account for the contempo- raneous relationship between these trading marks by exploiting the concept of copula … functions. Thereby we show how to model truncations of the mul- tivariate density in an easy way. A Metropolized …

Persistent link: https://www.econbiz.de/10005113476

Wieweit tragen rationale Modelle in der Finanzmarktforschung?

Franke, Günter; Weber, Thomas - 2006

Persistent link: https://www.econbiz.de/10010194046

Within and between systemic country risk. Theory and evidence from the sovereign crisis in Europe

Baglioni, Angelo; Cherubini, Umberto - In: Journal of Economic Dynamics and Control 37 (2013) 8, pp. 1581-1597

We propose a hierarchical Marshall–Olkin model of countrywide systemic risk. At the lower level, we model the systemic risk of a crisis within the banking system (that we call “within” systemic risk) and at the higher level we model the probability of a joint default of the banking system...

Persistent link: https://www.econbiz.de/10011051970

Dependent competing risks: Cause elimination and its impact on survival

Dimitrova, Dimitrina S.; Haberman, Steven; Kaishev, … - In: Insurance: Mathematics and Economics 53 (2013) 2, pp. 464-477

The dependent competing risks model of human mortality is considered, assuming that the dependence between lifetimes is modelled by a multivariate copula function. The effect on the overall survival of removing one or more causes of death is explored under two alternative definitions of removal,...

Persistent link: https://www.econbiz.de/10010702900

Dependent competing risks : cause elimination and its impact on survival

Dimitrova, Dimitrina S.; Haberman, Steven; Kaishev, … - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 464-477

Persistent link: https://www.econbiz.de/10010195909

A Copula-Based Algorithm for Discovering Patterns of Dependent Observations

Lascio, F.; Giannerini, Simone - In: Journal of Classification 29 (2012) 1, pp. 50-75

Persistent link: https://www.econbiz.de/10010848613

Measuring the subprime crisis contagion: Evidence of change point analysis of copula functions

Ye, Wuyi; Liu, Xiaoquan; Miao, Baiqi - In: European Journal of Operational Research 222 (2012) 1, pp. 96-103

index returns of two markets using the change point testing method. The method is based on Archimedean copula functions … between markets is subsequently estimated using the tail dependence coefficient of copula functions before and after the …

Persistent link: https://www.econbiz.de/10010597695

A joint survival analysis of hedge funds and funds of funds using copulas

Gregoriou, Greg N.; Pascalau, Razvan - In: Managerial Finance 38 (2012) January, pp. 82-100

Purpose – The purpose of this paper is to propose that simple measures of linear association are unable to capture accurately the dependence between the survival of hedge funds and funds of funds, respectively. The paper then aims to advocate the use of copulas to model the joint survival of...

Persistent link: https://www.econbiz.de/10010691523