Search Results - subject:"factor copula"

Risk modeling of property insurance claims from weather events

Gao, Yixing; Shi, Peng - In: ASTIN bulletin : the journal of the International … 55 (2025) 2, pp. 242-262

Persistent link: https://www.econbiz.de/10015450031

Large skew-t copula models and asymmetric dependence in intraday equity returns

Deng, Lin; Smith, Michael S.; Maneesoonthorn, Worapree - In: Journal of business & economic statistics : JBES ; a … 43 (2025) 2, pp. 269-285

Persistent link: https://www.econbiz.de/10015534006

Dynamic factor copula-based modeling for market risk optimization with an application to the real industry in China

Chen, Zhenlong; Zhou, Jialian; Hao, Xiaozhen - In: Journal of innovation & knowledge : JIK 8 (2023) 4, pp. 1-9

-dimensional portfolios. To describe the dependence structure, we employ the factor copula model, driven by a GAS (Generalized Autoregressive … heterogeneous factor copula model is the most suitable for describing portfolio risk. Furthermore, the mean-ES model ensures the … Score) model. By combining the dynamic factor model with a mean-ES (Expected Shortfall) model, we construct a dynamic factor …

Persistent link: https://www.econbiz.de/10014506777

Dynamic factor copula-based modeling for market risk optimization with an application to the real industry in China

Chen, Zhenlong; Zhou, Jialian; Hao, Xiaozhen - In: Journal of Innovation & Knowledge (JIK) 8 (2023) 4, pp. 1-9

Persistent link: https://www.econbiz.de/10015461045

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

Systemic risk in global FX markets : measurement and determinants

Jiang, Yanting; Lin, Juan; Chen, Yanghan - In: Journal of international money and finance 159 (2025), pp. 1-23

Persistent link: https://www.econbiz.de/10015574335

Portfolio selection via high-dimensional stochastic factor Copula

Chen, Zhenlong; Chang, Jing; Hao, Xiaozhen - In: Finance research letters 67 (2024) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10015061465

Consistent estimation of multiple breakpoints in dependence measures

Borsch, Marvin; Mayer, Alexander; Wied, Dominik - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 695-706

Persistent link: https://www.econbiz.de/10015053446

Diversification benefits of commodities in portfolio allocation : a dynamic factor copula approach

Gaete, Michael; Herrera, Rodrigo - In: Journal of commodity markets 32 (2023), pp. 1-21

Persistent link: https://www.econbiz.de/10014495646

Parallel Bayesian inference for high-dimensional dynamic factor copulas

Nguyen, Hoang; Ausín, M. Concepción; Galeano, Pedro - In: Journal of financial econometrics 17 (2019) 1, pp. 118-151

Persistent link: https://www.econbiz.de/10012054431