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  • Search: subject:"Student’s t copula"
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Year of publication
Subject
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Student’s t copula 3 Multivariate Verteilung 2 Multivariate distribution 2 Portfolio selection 2 Portfolio-Management 2 Aktienmarkt 1 Basel Accord 1 Basler Akkord 1 Beta-Gen-t-EGARCH with leverage effects 1 Capital income 1 Copulas 1 Correlation 1 Credit risk 1 DCS model with Student’s t copula 1 Dependence modeling 1 Equity market neutral hedge funds 1 GARCH 1 Gen-t-QAR 1 Goodness-of-fit tests 1 Hedge fund 1 Hedgefonds 1 Hedging 1 Kapitaleinkommen 1 Kreditrisiko 1 Nonlinear comovements 1 Normal copula 1 Operational risk 1 Risikomanagement 1 Risikomaß 1 Risk capital 1 Risk management 1 Risk measure 1 Stock market 1 Theorie 1 Theory 1 Vine copula 1 Zero inflation 1 asymptotic single risk factor (ASRF) model 1 credit value-at-risk (VaR) 1 dynamic conditional score (DCS) models 1
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Online availability
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Undetermined 2 Free 1
Type of publication
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Article 3 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 2
Author
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Ayala, Astrid 1 Blazsek, Szabolcs 1 Brechmann, Eike 1 Chen, Xiaohong 1 Czado, Claudia 1 Fan, Yanqin 1 Paterlini, Sandra 1 Patton, Andrew J. 1 Rutkowski, Marek 1 Tarca, Silvio 1
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Institution
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London School of Economics (LSE) 1
Published in...
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Applied economics 1 International journal of theoretical and applied finance 1 Journal of Banking & Finance 1 LSE Research Online Documents on Economics 1
Source
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ECONIS (ZBW) 2 RePEc 2
Showing 1 - 4 of 4
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Equity market neutral hedge funds and the stock market : an application of score-driven copula models
Ayala, Astrid; Blazsek, Szabolcs - In: Applied economics 50 (2018) 37, pp. 4005-4023
Persistent link: https://www.econbiz.de/10012060246
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Regulatory capital modeling for credit risk
Rutkowski, Marek; Tarca, Silvio - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-44
Persistent link: https://www.econbiz.de/10011403880
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Flexible dependence modeling of operational risk losses and its impact on total capital requirements
Brechmann, Eike; Czado, Claudia; Paterlini, Sandra - In: Journal of Banking & Finance 40 (2014) C, pp. 271-285
Operational risk data, when available, are usually scarce, heavy-tailed and possibly dependent. In this work, we introduce a model that captures such real-world characteristics and explicitly deals with heterogeneous pairwise and tail dependence of losses. By considering flexible families of...
Persistent link: https://www.econbiz.de/10010738301
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Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates
Chen, Xiaohong; Fan, Yanqin; Patton, Andrew J. - London School of Economics (LSE) - 2004
Normal or the Student’s t copula models are compatible with U.S. equity return and exchange rate data. Both tests are robust …, but little evidence against the more flexible Student’s t copula. …
Persistent link: https://www.econbiz.de/10010746302
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