Search Results - subject:"Copulae"

Dealing with regression models' endogeneity by means of an adjusted estimator for the Gaussian copula approach

Liengaard, Benjamin Dybro; Becker, Jan-Michael; … - In: Journal of the Academy of Marketing Science 53 (2025) 1, pp. 279-299

Persistent link: https://www.econbiz.de/10015193008

Dynamic asymmetric tail dependence structure among multi-asset classes for portfolio management : dynamic skew-t copula approach

Ito, Kakeru; Yoshiba, Toshinao - In: International review of economics & finance : IREF 97 (2025), pp. 1-19

Persistent link: https://www.econbiz.de/10015324226

Copula-based risk aggregation and the significance of reinsurance

Dias, Alexandra; Ismail, Isaudin; Zhang, Aihua - 2025

results show that a mixture of copulas can provide a better fit to the data than an individual copula and consequently avoid …

Persistent link: https://www.econbiz.de/10015358934

Portfolio tail risk forecasting for international financial assets : a GARCH-MIDAS-R-Vine copula model

Yao, Yinhong; Chen, Xiuwen; Chen, Zhensong - 2025

Persistent link: https://www.econbiz.de/10015374390

The risk of clustering of deprivations in Spain : a tale of two crises

García-Gómez, César; Pérez, Ana - In: Applied economic analysis : AEA 33 (2025) 97, pp. 53-75

Persistent link: https://www.econbiz.de/10015411670

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

Jeleskovic, Vahidin; Latini, Claudio; Younas, Zahid Irshad - 2024

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

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

post-COVID period. Using t-copula-DCC-GJR-GARCH-skew-t and t-copula-aDCC-GJR-GARCH-skew-t models for pre- and post …-COVID periods, respectively and the R-vine copula model for tail dependence analysis during times of extreme market conditions; our …

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

Semiparametric conditional mixture copula models with copula selection

Cai, Zongwu; Liu, Guannan; Long, Wei; Luo, Xuehong - 2023

Persistent link: https://www.econbiz.de/10014521027

Selected reinsurance models

Heilpern, Stanisław - In: Central European journal of economic modelling and … 16 (2024) 2, pp. 95-124

Persistent link: https://www.econbiz.de/10015326080

Modeling dynamic higher-order comoments for portfolio selection based on copula approach

Wang, Yanfeng; Ke, Rui; Yang, Dong - In: International review of economics & finance : IREF 96 (2024) 2, pp. 1-13

Persistent link: https://www.econbiz.de/10015271380