Search Results - subject:"Copula functions"

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Optimal portfolio allocation with elliptical and mixed copulas

Özgür, Cemile; Sarıkovanlık, Vedat - In: Istanbul business research 52 (2022) 3, pp. 461-480

copulas. From the fitted Mixed and Elliptical copula functions, daily returns of the equities are simulated which are employed … the gap in the literature on the out-of-sample portfolio allocation performance of copula functions where there are still …

Persistent link: https://www.econbiz.de/10014518344

Non-Gaussian models for CoVaR estimation

Bianchi, Michele Leonardo; De Luca, Giovanni; … - In: International journal of forecasting 39 (2023) 1, pp. 391-404

Persistent link: https://www.econbiz.de/10014462788

COVID-19 and stock returns : evidence from the Markov switching dependence approach

Bouteska, Ahmed; Sharif, Taimur; Abedin, Mohammad Zoynul - In: Research in international business and finance 64 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014279046

Time-varying dependence and currency tail risk during the Covid-19 pandemic

Gobbi, Fabio; Mulinacci, Sabrina - In: Studies in economics and finance 40 (2023) 5, pp. 839-858

Persistent link: https://www.econbiz.de/10014467159

Estimating the volatility of non-life premium risk under Solvency II: Discussion of Danish fire insurance data

Cerchiara, Rocco Roberto; Acri, Francesco - In: Risks 8 (2020) 3, pp. 1-19

We studied the volatility assumption of non-life premium risk under the Solvency II Standard Formula and developed an empirical model on real data, the Danish fire insurance data. Our empirical model accomplishes two things. Primarily, compared to the present literature, this paper innovates the...

Persistent link: https://www.econbiz.de/10013200607

Estimating the volatility of non-life premium risk under Solvency II : discussion of Danish fire insurance data

Cerchiara, Rocco Roberto; Acri, Francesco - In: Risks : open access journal 8 (2020) 3/74, pp. 1-19

Persistent link: https://www.econbiz.de/10012293140

Tail dependence in financial markets: A dynamic copula approach

Cortese, Federico Pasquale - In: Risks 7 (2019) 4, pp. 1-14

functions. The main idea is to consider the impact of the use of copula functions in the accuracy of the model's parameters and …This article is concerned with the study of the tail correlation among equity indices by means of dynamic copula …

Persistent link: https://www.econbiz.de/10013200534

Tail dependence in financial markets : a dynamic copula approach

Cortese, Federico Pasquale - In: Risks : open access journal 7 (2019) 4/116, pp. 1-14

functions. The main idea is to consider the impact of the use of copula functions in the accuracy of the model´s parameters and …This article is concerned with the study of the tail correlation among equity indices by means of dynamic copula …

Persistent link: https://www.econbiz.de/10012127765

GJR-Copula-CVaR model for portfolio optimization : evidence for emerging stock markets

Nikusokhan, Moien - In: Iranian economic review : journal of University of Tehran 22 (2018) 4, pp. 990-1015

Persistent link: https://www.econbiz.de/10012152394

Detecting exchange rate contagion using copula functions

Cubillos-Rocha, Juan Sebastian; Gomez-Gonzalez, Eduardo; … - 2018

Persistent link: https://www.econbiz.de/10011944495

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