Search Results - subject:"T-copulas"

Did you mean: subject:"T-copula" (41 results)

Tail dependence in emerging ASEAN-6 equity markets: Empirical evidence from quantitative approaches

In: Financial Innovation 6 (2020) 1, pp. 1-26

-plots) as well as copulas (traditional and time-varying with Student's t-copulas) to the existing literature in terms of … January 2001 to December 2017, we found that Student's t-copulas under time-varying approach is the most appropriate approach …

Persistent link: https://www.econbiz.de/10012602841

Tail dependence in emerging ASEAN-6 equity markets : empirical evidence from quantitative approaches

Duy Duong; Toan Luu Duc Huynh - In: Financial innovation : FIN 6 (2020) 4, pp. 1-26

-plots) as well as copulas (traditional and time-varying with Student’s t-copulas) to the existing literature in terms of … January 2001 to December 2017, we found that Student’s t-copulas under time-varying approach is the most appropriate approach …

Persistent link: https://www.econbiz.de/10012268531

Which information matters to market risk spreading in Brazil? : volatility transmission modelling using MGARCH-BEKK, DCC, t-Copulas

Oliveira, Felipe A. de; Maia, Sinézio Fernandes; … - In: The North American journal of economics and finance : a … 45 (2018), pp. 83-100

Persistent link: https://www.econbiz.de/10012117759

The benefit of using random matrix theory to fit high-dimensional t-copulas

Xu, Jiali; Brin, Loïc - In: The journal of operational risk 11 (2016) 4, pp. 1-21

Persistent link: https://www.econbiz.de/10013177169

Modeling dependence structure and forecasting market risk with dynamic asymmetric copula

Cerrato, Mario; Crosby, John; Kim, Minjoo; Zhao, Yang - 2015

Persistent link: https://www.econbiz.de/10011325736