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  • Search: subject:"dynamic dependence"
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Year of publication
Subject
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dynamic dependence 15 Multivariate Verteilung 14 Multivariate distribution 14 Dynamic dependence 10 Theorie 10 Volatility 10 Volatilität 10 Theory 9 ARCH model 7 ARCH-Modell 7 Zeitreihenanalyse 7 Capital income 6 Kapitaleinkommen 6 Time series analysis 6 copula 6 Aktienmarkt 5 Börsenkurs 5 Oil price 5 Share price 5 Stock market 5 Credit risk 4 Estimation 4 Risiko 4 Risk 4 Schätzung 4 Welt 4 World 4 multivariate Student's t distribution 4 Ölpreis 4 Anleihe 3 Bond 3 CDS-correlation 3 Credit derivative 3 Kreditderivat 3 Kreditrisiko 3 Markov chain 3 Markov jump processes 3 Markov-Kette 3 Portfolio credit risk 3 Risikomanagement 3
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Online availability
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Undetermined 14 Free 13
Type of publication
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Article 19 Book / Working Paper 12
Type of publication (narrower categories)
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Article in journal 17 Aufsatz in Zeitschrift 17 Working Paper 5 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3 Conference paper 1 Konferenzbeitrag 1
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Language
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English 22 Undetermined 9
Author
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Koopman, Siem Jan 7 Lucas, André 7 Creal, Drew 4 Herbertsson, Alexander 3 Jacobs, Kris 3 Jin, Xisong 3 Langlois, Hugues 3 Li, Rong 3 Li, Sufang 3 Lit, Rutger 3 Christoffersen, Peter 2 Fan, Ying 2 Ji, Qiang 2 Liu, Bing-Yue 2 Shahzad, Syed Jawad Hussain 2 Zhu, Huiming 2 Chang, Jing 1 Chen, Zhenlong 1 Christoffersen, Peter F. 1 DM, Zimmer 1 Deb, Partha 1 Drakeford, Benjamin M 1 Dutta, Anupam 1 Errunza, Vihang 1 Gong, Jinguo 1 Hao, Xiaozhen 1 Hu, Zongyi 1 Li, Jie 1 Li, Ping 1 Li, Zhao-Lai 1 Liu, Xiaoquan 1 Liu, Yue 1 Mayordomo, Sergio 1 McMillan, David G. 1 Naifar, Nader 1 P, Deb 1 PK, Trivedi 1 Peña Sánchez de Rivera, Juan Ignacio 1 Rahman, Md Lutfur 1 Shi, Daimin 1
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Institution
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School of Economics and Management, University of Aarhus 2 Tinbergen Instituut 2 Department of Economics and Related Studies, University of York 1 Nationalekonomiska institutionen, Handelshögskolan 1 Tinbergen Institute 1
Published in...
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Tinbergen Institute Discussion Papers 3 CREATES Research Papers 2 Discussion paper / Tinbergen Institute 2 Energy economics 2 International review of financial analysis 2 Tinbergen Institute Discussion Paper 2 Applied financial economics 1 Cahiers d'etudes / Banque Centrale du Luxembourg 1 Economic modelling 1 Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets 1 Health economics 1 Health, Econometrics and Data Group (HEDG) Working Papers 1 International Review of Economics & Finance 1 International economics : a journal published by CEPII (Center for research and expertise on the world economy) 1 International review of economics & finance : IREF 1 Journal of empirical finance 1 Quantitative finance and economics 1 Review of Derivatives Research 1 Review of derivatives research 1 Review of finance : journal of the European Finance Association 1 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 1 The North American journal of economics and finance : a journal of financial economics studies 1 The energy journal 1 Working Papers in Economics 1
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Source
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ECONIS (ZBW) 20 RePEc 9 EconStor 2
Showing 1 - 10 of 31
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Decomposing systemic risk measures by bank business model in Luxembourg
Jin, Xisong - 2024
Persistent link: https://www.econbiz.de/10014477350
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Cross-country risk spillovers : a FHM factor copula approach
Chang, Jing; Hao, Xiaozhen; Chen, Zhenlong - In: Economic modelling 150 (2025), pp. 1-11
Persistent link: https://www.econbiz.de/10015441516
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Intraday VaR : a copula-based approach
Wang, Keli; Liu, Xiaoquan; Ye, Wuyi - In: Journal of empirical finance 74 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014477064
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Time-frequency dependence and connectedness between financial technology and green assets
Urom, Christian - In: International economics : a journal published by CEPII … 175 (2023), pp. 139-157
Persistent link: https://www.econbiz.de/10014428858
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Reconstruction and dynamic dependence analysis of global economic policy uncertainty
Liu, Yue; Zheng, Yuhang; Drakeford, Benjamin M - In: Quantitative finance and economics 3 (2019) 3, pp. 550-561
Persistent link: https://www.econbiz.de/10012176595
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Comparing the risk spillover from oil and gas to investment grade and high-yield bonds through optimal copulas
Rahman, Md Lutfur; Shahzad, Syed Jawad Hussain; Uddin, … - In: The energy journal 43 (2022) 1, pp. 215-239
Persistent link: https://www.econbiz.de/10013187659
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Dependence dynamics of Islamic and conventional equity sectors : what do we learn from the decoupling hypothesis and COVID-19 pandemic?
Shahzad, Syed Jawad Hussain; Naifar, Nader - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10013413565
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Empirical analysis of the dynamic dependence between WTI oil and Chinese energy stocks
Li, Jie; Li, Ping - In: Energy economics 93 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012643312
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Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS
Ji, Qiang; Liu, Bing-Yue; Zhao, Wan-Li; Fan, Ying - In: International review of financial analysis 68 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012301045
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Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions
Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2015
We investigate the intraday dependence pattern between tick data of stock price changes using a new time-varying model for discrete copulas. We let parameters of both the marginal models and the copula vary over time using an observation driven autoregressive updating scheme based on the score...
Persistent link: https://www.econbiz.de/10011288386
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