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Search: subject:"copula function"
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Multivariate distribution
2,572
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514
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513
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Okhrin, Ostap
43
Härdle, Wolfgang
25
Lucas, André
25
Smith, Michael S.
22
Tiwari, Aviral Kumar
22
Weiß, Gregor
21
Patton, Andrew J.
19
Reboredo, Juan Carlos
19
Einmahl, John H. J.
17
Kim, Jong-Min
17
Manner, Hans
17
Segers, Johan
17
Czado, Claudia
16
Ning, Cathy Q.
16
Hammoudeh, Shawkat
15
Hamori, Shigeyuki
15
Koopman, Siem Jan
15
Prokhorov, Artem
15
Zimmer, David M.
15
Chen, Xiaohong
14
Fermanian, Jean-David
14
Ghorbel, Ahmed
14
Songsak Sriboonchitta
14
Anatolyev, Stanislav
13
Fischer, Matthias
13
Romagnoli, Silvia
13
Dijk, Dick van
12
Fantazzini, Dean
12
Oh, Dong Hwan
12
Bouri, Elie
11
Cherubini, Umberto
11
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11
Heinen, Andréas
11
Ji, Qiang
11
Nguyen, Duc Khuong
11
Okhrin, Yarema
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International Monetary Fund
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Springer International Publishing
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Workshop "Copulae in Mathematical and Quantitative Finance" <2012, Krakau>
1
Wydział Nauk Ekonomicznych, Uniwersytet Warszawski
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Energy economics
57
Applied economics
45
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European journal of operational research : EJOR
38
International review of financial analysis
34
Journal of banking & finance
32
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
32
The North American journal of economics and finance : a journal of financial economics studies
32
Finance research letters
29
Journal of econometrics
29
SFB 649 discussion paper
27
Journal of risk and financial management : JRFM
24
Discussion paper / Tinbergen Institute
23
Journal of risk
22
The European journal of finance
22
Computational economics
18
International review of economics & finance : IREF
18
Discussion paper / Center for Economic Research, Tilburg University
16
International journal of theoretical and applied finance
16
Journal of empirical finance
16
Research in international business and finance
16
Applied economics letters
15
Economics letters
15
Econometric reviews
14
Journal of international financial markets, institutions & money
14
International journal of forecasting
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
13
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
13
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
12
Scandinavian actuarial journal
12
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Discussion paper
10
Quantitative finance
10
The journal of credit risk : published quarterly by Incisive Media
10
The journal of futures markets
10
Astin bulletin : the journal of the International Actuarial Association
9
Diskussionspapiere / Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie
9
Econometric theory
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ECONIS (ZBW)
2,572
RePEc
28
Other ZBW resources
5
EconStor
4
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2221
Modeling dependence dynamics through copulas with regime switching
Silva Filho, Osvaldo Candido da
;
Ziegelmann, Flávio A.
; …
- In:
Insurance / Mathematics & economics
50
(
2012
)
3
,
pp. 346-356
Persistent link: https://www.econbiz.de/10009544168
Saved in:
2222
Valuation and hedging of CDS counterparty exposure in a Markov copula model
Bielecki, Tomasz R.
;
Crépey, S.
;
Jeanblanc, Monique
; …
- In:
International journal of theoretical and applied finance
15
(
2012
)
1
,
pp. 1-39
Persistent link: https://www.econbiz.de/10009562148
Saved in:
2223
Measuring the subprime crisis contagion : evidence of change point analysis of copula functions
Ye, Wuyi
;
Liu, Xiaoquan
;
Miao, Baiqi
- In:
European journal of operational research : EJOR
222
(
2012
)
1
,
pp. 96-103
Persistent link: https://www.econbiz.de/10009569564
Saved in:
2224
A copula approach to inventory pooling problems with newsvendor products
Aydın, Burcu
;
Güler, Kemal
;
Kayış, Enis
- In:
Handbook of newsvendor problems : models, extensions …
,
(pp. 81-101)
.
2012
Persistent link: https://www.econbiz.de/10009570011
Saved in:
2225
A dynamic copula approach to recovering the index implied volatility skew
Fengler, Matthias R.
;
Herwartz, Helmut
;
Werner, Christian
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
3
,
pp. 457-493
Persistent link: https://www.econbiz.de/10009571516
Saved in:
2226
Modeling overnight and daytime returns using a multivariate generalized autoregressive conditional heteroskedasticity copula model
Kang, Long
;
Babbs, Simon H.
- In:
Journal of risk
14
(
2011/12
)
4
,
pp. 35-63
Persistent link: https://www.econbiz.de/10009571597
Saved in:
2227
An integrated model of tourists’ time use and expenditure behaviour with self-selection based on a fully nested Archimedean
copula
function
Zhang, Hui
;
Zhang, Junying
;
Kuwano, Masashi
- In:
Tourism management : research, policies, practice
33
(
2012
)
6
,
pp. 1562-1573
Persistent link: https://www.econbiz.de/10009575973
Saved in:
2228
Copula based hierarchical risk aggregation through sample reordering
Arbenz, Philipp
;
Hummel, Christoph
;
Mainik, Georg
- In:
Insurance / Mathematics & economics
51
(
2012
)
1
,
pp. 122-133
Persistent link: https://www.econbiz.de/10009558243
Saved in:
2229
Measuring volatility and tail dependence of risk factors : an entropy-based perspective on the German stock market
Kharlamov, Georgy
-
2012
Persistent link: https://www.econbiz.de/10009737049
Saved in:
2230
Tail dependence in international real estate securities markets
Zhou, Jian
;
Gao, Yanmin
- In:
The journal of real estate finance and economics
45
(
2012
)
1
,
pp. 128-151
Persistent link: https://www.econbiz.de/10009581759
Saved in:
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