Search Results - subject:"Dependence Structure"

Time-varying dependence structures of equity markets of China, ASEAN and the USA

Li, Baoxia; Zeng, Zhi - In: Applied economics letters 25 (2018) 2, pp. 87-91

Persistent link: https://www.econbiz.de/10011853697

Multivariate option pricing models with Lévy and Sato VG marginal processes

Guillaume, Florence - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-26

Persistent link: https://www.econbiz.de/10011854500

On the study of conditional dependence structure between oil, gold and USD exchange rates

Bedoui, Rihab; Braeik, Sana; Goutte, Stéphane; Guesmi, … - In: International review of financial analysis 59 (2018), pp. 134-146

Persistent link: https://www.econbiz.de/10012006932

The dependence structure between Chinese and other major stock markets using extreme values and copulas

Hussain, Saiful Izzuan; Li, Steven - In: International review of economics & finance : IREF 56 (2018), pp. 421-437

Persistent link: https://www.econbiz.de/10012033721

Extreme co-movements and dependencies among major international exchange rates : a copula approach

Albulescu, Claudiu Tiberiu; Aubin, Christian; Goyeau, Daniel - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 56-69

Persistent link: https://www.econbiz.de/10012034997

Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure

Han, Xia; Liang, Zhibin; Yuen, Kam Chuen - In: Scandinavian actuarial journal (2018) 10, pp. 863-889

Persistent link: https://www.econbiz.de/10011939763

Impact of dependence modeling of non-life insurance risks on capital requirement : D-Vine copula approach

Mejdoub, Hanène; Arab, Mounira Ben - In: Research in international business and finance 45 (2018), pp. 208-218

Persistent link: https://www.econbiz.de/10011983230

Dynamic dependence structure between energy markets and the Italian stock index

Masala, Giovanni - In: Investment management and financial innovations 15 (2018) 2, pp. 60-67

Persistent link: https://www.econbiz.de/10012055096

Modelling the Dependence Structure of MUR/USD and MUR/INR Exchange Rates using Copula

Jowaheer, Vandna; Ameerudden, Nafeessah Z. B. - In: International Journal of Economics and Financial Issues 2 (2012) 1, pp. 27-32

random variables in order to specify the complete covariance matrix to measure their dependence structure. In this paper, we … hyperbolic distribution. Their dependence structure is appropriately modeled by t copula. …

Persistent link: https://www.econbiz.de/10009395617

Conditional dependence between international stock markets : a long memory GARCH-copula model approach

Mokni, Khaled; Mansouri, Fayçal - In: Journal of multinational financial management 42/43 (2017), pp. 116-131

Persistent link: https://www.econbiz.de/10011927907