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  • Search: subject:"Vine copula"
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Year of publication
Subject
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Multivariate Verteilung 103 Multivariate distribution 103 Theorie 52 Theory 52 Vine copula 45 Risikomaß 44 Risk measure 44 vine copula 35 Portfolio selection 34 Portfolio-Management 34 Risikomanagement 33 Risk management 33 Welt 24 World 24 Financial crisis 21 Finanzkrise 21 Risiko 17 Risk 17 Volatility 17 Volatilität 17 Capital income 16 Kapitaleinkommen 16 Statistical distribution 16 Statistische Verteilung 16 Aktienmarkt 15 Forecasting model 15 Prognoseverfahren 15 Stock market 15 ARCH model 14 ARCH-Modell 14 Börsenkurs 14 Share price 14 Time series analysis 12 Zeitreihenanalyse 12 Estimation 11 Schätzung 11 Spillover effect 9 Spillover-Effekt 9 Systemic risk 9 Vine Copula 9
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Online availability
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Undetermined 94 Free 56 CC license 6
Type of publication
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Article 128 Book / Working Paper 29
Type of publication (narrower categories)
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Article in journal 111 Aufsatz in Zeitschrift 111 Working Paper 10 Article 8 Graue Literatur 8 Non-commercial literature 8 Arbeitspapier 7 Aufsatz im Buch 1 Book section 1 Preprint 1 research-article 1
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Language
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English 138 Undetermined 19
Author
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Guegan, Dominique 8 Sahamkhadam, Maziar 6 Czado, Claudia 5 Hassani, Bertrand 5 Stephan, Andreas 5 Dai, Xingyu 4 Hassani, Bertrand K. 4 Min, Aleksey 4 Muteba Mwamba, John 4 Wang, Qunwei 4 Bedoui, Rihab 3 Grothe, Oliver 3 Ji, Hao 3 Kim, Jong-Min 3 Mangold, Benedikt 3 Mejdoub, Hanène 3 Mwambi, Sutene Mwambetania 3 Paterlini, Sandra 3 Reboredo, Juan Carlos 3 Wang, Hao 3 Wang, Shixuan 3 Adekambi, Franck 2 Alcock, Jamie 2 Bee, Marco 2 BenSaïda, Ahmed 2 Brechmann, Eike 2 Brechmann, Eike C. 2 Bruneau, Catherine 2 Chuliá, Helena 2 Dey, Dipak 2 Eling, Martin 2 Evkaya, Ozan 2 Flageollet, Alexis 2 Ghorbel, Ahmed 2 Guesmi, Khaled 2 Guillén, Montserrat 2 Gür, İsmail 2 Hambuckers, Julien 2 Hendrich, Katharina 2 Ivanov, Eugen 2
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Institution
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Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 6 HAL 3 Agricultural and Applied Economics Association - AAEA 1 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 1 Energiewirtschaftliches Institut (EWI), Universität zu Köln 1 Institut de Recerca en Economia Aplicada (IREA), Facultat d'Economia i Empresa 1 Institut de Recherche Économique et Sociale (IRES), École des Sciences Économiques de Louvain 1 Institutt for foretaksøkonomi, Norges Handelshøyskole (NHH) 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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Applied economics 6 Documents de travail du Centre d'Economie de la Sorbonne 6 Economic modelling 6 Energy economics 5 Finance research letters 5 International review of financial analysis 5 Insurance / Mathematics & economics 4 International review of economics & finance : IREF 4 Journal of forecasting 4 Research in international business and finance 3 The North American journal of economics and finance : a journal of financial economics studies 3 Astin bulletin : the journal of the International Actuarial Association 2 Computational economics 2 European journal of operational research : EJOR 2 FAU discussion papers in economics 2 International Journal of Financial Studies : open access journal 2 International journal of finance & economics : IJFE 2 International journal of forecasting 2 Journal of Banking & Finance 2 Journal of Multivariate Analysis 2 Journal of banking & finance 2 Post-Print / HAL 2 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 2 The European journal of finance 2 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 2 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 1 American journal of finance and accounting 1 Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries 1 Annals of operations research ; volume 284, numbers 1 (January 2020) 1 Applied economics letters 1 CEMMAP working papers / Centre for Microdata Methods and Practice 1 CESIS electronic working paper series 1 CORE Discussion Papers 1 China Finance Review International 1 China finance review international 1 Cogent Economics & Finance 1 Cogent economics & finance 1 Computational Economics 1 DEM working papers 1 Discussion Papers (ECON - Département des Sciences Economiques) 1
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Source
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ECONIS (ZBW) 120 RePEc 22 EconStor 13 Other ZBW resources 2
Showing 1 - 10 of 157
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Navigating uncertainty in an emerging market : data-centric portfolio strategies and systemic risk assessment in the Johannesburg Stock Exchange
Muteba Mwamba, John; Mba, Jules C.; Kitenge, Anaclet K. - 2025
) during the COVID-19 pandemic, utilizing data-centric approaches and the ARMA-GARCH vine copula-based conditional value …
Persistent link: https://www.econbiz.de/10015338318
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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
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Cryptocurrency portfolio optimization: Utilizing a GARCH‐copula model within the Markowitz framework
Jeleskovic, Vahidin; Latini, Claudio; Younas, Zahid I.; … - In: Journal of Corporate Accounting & Finance 35 (2024) 4, pp. 139-155
the calculation of the risk structure is done via the GARCH‐Copula and GARCH‐Vine Copula approaches. The optimal weights …
Persistent link: https://www.econbiz.de/10015106445
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Tail risk spillover network among green bond, energy and agricultural markets under extreme weather scenarios
Xue, Jianhao; Dai, Xingyu; Zhang, Dongna; Nghiem, Xuan-Hoa - In: International review of economics & finance : IREF 96 (2024) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10015323526
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Socially responsible multiobjective optimal portfolios
Sahamkhadam, Maziar; Stephan, Andreas - In: Journal of the Operational Research Society 75 (2024) 10, pp. 2065-2076
Persistent link: https://www.econbiz.de/10015188547
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Vine copula approach to understand the financial dependence of the istanbul stock exchange index
Evkaya, Ozan; Gür, İsmail; Külekci, Bükre Yıldırım; … - In: Computational economics 64 (2024) 5, pp. 2935-2980
Persistent link: https://www.econbiz.de/10015144100
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Vine Copula Approach to Understand the Financial Dependence of the Istanbul Stock Exchange Index
Evkaya, Ozan; Gür, İsmail; Yıldırım Külekci, Bükre; … - In: Computational Economics 64 (2024) 5, pp. 2935-2980
to investigate a Regular-Vine copula approach to estimate the interdependence structure of the Istanbul Stock Exchange …
Persistent link: https://www.econbiz.de/10015361785
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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
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Modeling, Analysis and Optimization for Mathematical Finance, Economics and Risks
Yao, Jing (contributor); Hu, Xiang (contributor);  … - 2024
Modeling, Analysis, and Optimization for Mathematical Finance, Economics, and Risks is a critical domain that integrates mathematical theory with practical applications to address the complexities of modern financial and economic systems. This special issue focuses on recent studies that are...
Persistent link: https://www.econbiz.de/10015325017
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Portfolio optimisation under copula-based scenarios
Rungnapa Opartpunyasarn - 2024
Persistent link: https://www.econbiz.de/10014476514
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