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Search: subject:"hierarchical Archimedean copula"
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Hierarchical Archimedean copula
6
Multivariate distribution
6
Theorie
6
Multivariate Verteilung
5
Theory
4
hierarchical Archimedean copula
4
ARCH-Modell
3
Börsenkurs
3
Commodity forward curves
3
Kopula (Mathematik)
3
Multivariate Analyse
3
Multivariate GARCH
3
Risikomaß
3
Rohstoffderivat
3
Value-at-risk
3
copula
3
ARCH model
2
Commodity derivative
2
Hidden Markov model
2
Hierarchical Archimedean Copula
2
Hierarchical Archimedean Copulae
2
Microprudential Capital Requirements
2
Multivariate analysis
2
O-SII Buffer
2
Risikomanagement
2
Risk management
2
Risk measure
2
Share price
2
Statistische Verteilung
2
Stress Testing
2
Systemic Credit Risk
2
Systemic Risk Buffer
2
Tail Risk
2
Time series analysis
2
Value-at-Risk
2
Zeitreihenanalyse
2
commodity forward curves
2
hierarchical Archimedean copula (HAC)
2
multivariate GARCH
2
Aktienmarkt
1
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Free
8
Undetermined
5
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Article
8
Book / Working Paper
8
Type of publication (narrower categories)
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Working Paper
5
Article in journal
4
Aufsatz in Zeitschrift
4
Arbeitspapier
1
Graue Literatur
1
Non-commercial literature
1
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English
10
Undetermined
6
Author
All
Okhrin, Ostap
9
Zolotko, Mikhail
4
Härdle, Wolfgang Karl
2
Ristig, Alexander
2
Tente, Natalia
2
Wang, Weining
2
Abdallah, Anas
1
Boucher, Jean-Philippe
1
Cossette, Hélène
1
Lakhal-Chaieb, L.
1
Li, Hong
1
Lu, Yang
1
Okhrin, Yarema
1
Olson, Eric
1
Rivest, L.-P.
1
Romdhani, H.
1
Schmid, Wolfgang
1
Segers, Johan
1
Slopek, Ulf
1
Slopek, Ulf Dieter
1
Uyttendaele, Nathan
1
Vivian, Andrew J.
1
Westernhagen, Natalja von
1
Wohar, Mark E.
1
von Westernhagen, Natalja
1
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
3
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SFB 649 Discussion Paper
3
SFB 649 Discussion Papers
3
Energy economics
2
Astin bulletin : the journal of the International Actuarial Association
1
Bundesbank Discussion Paper
1
Computational Statistics & Data Analysis
1
Discussion paper
1
Energy Economics
1
Journal of Econometrics
1
Journal of Multivariate Analysis
1
Scandinavian actuarial journal
1
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RePEc
7
ECONIS (ZBW)
5
EconStor
4
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1
M-PRESS-CreditRisk: A holistic micro- and macroprudential approach to capital requirements
Tente, Natalia
;
von Westernhagen, Natalja
;
Slopek, Ulf
-
2017
M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework....
Persistent link: https://www.econbiz.de/10011664818
Saved in:
2
M-PRESS-CreditRisk : a holistic micro- and macroprudential approach to capital requirements
Tente, Natalia
;
Westernhagen, Natalja von
;
Slopek, Ulf …
-
2017
M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework....
Persistent link: https://www.econbiz.de/10011663208
Saved in:
3
Modeling cause-of-death mortality using
hierarchical
Archimedean
copula
Li, Hong
;
Lu, Yang
- In:
Scandinavian actuarial journal
2019
(
2019
)
3
,
pp. 247-272
Persistent link: https://www.econbiz.de/10012194949
Saved in:
4
Modelling general dependence between commodity forward curves
Zolotko, Mikhail
;
Okhrin, Ostap
-
2012
family of dynamic conditional correlation models based on
hierarchical
Archimedean
copulae
(HAC DCC), which are flexible, but …
Persistent link: https://www.econbiz.de/10010318781
Saved in:
5
Hierarchical
Archimedean
copulae
: The HAC package
Okhrin, Ostap
;
Ristig, Alexander
-
2012
-dimensional
hierarchical
Archimedean
copulae
(HAC). A computationally effcient estimation procedure allows to recover the structure and the …
Persistent link: https://www.econbiz.de/10010319201
Saved in:
6
HMM in dynamic HAC models
Härdle, Wolfgang Karl
;
Okhrin, Ostap
;
Wang, Weining
-
2012
aims at attacking this problem by building up a hidden Markov model (HMM) for
Hierarchical
Archimedean
Copulae
(HAC), where …
Persistent link: https://www.econbiz.de/10010281541
Saved in:
7
Modelling general dependence between commodity forward curves
Zolotko, Mikhail
;
Okhrin, Ostap
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2012
family of dynamic conditional correlation models based on
hierarchical
Archimedean
copulae
(HAC DCC), which are flexible, but …
Persistent link: https://www.econbiz.de/10010581005
Saved in:
8
Hierarchical
Archimedean
Copulae
: The HAC Package
Okhrin, Ostap
;
Ristig, Alexander
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2012
-dimensional
hierarchical
Archimedean
copulae
(HAC). A computationally ecient estimation procedure allows to recover the structure and the …
Persistent link: https://www.econbiz.de/10010549031
Saved in:
9
HMM in dynamic HAC models
Härdle, Wolfgang Karl
;
Okhrin, Ostap
;
Wang, Weining
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2012
aims at attacking this problem by building up a hidden Markov model (HMM) for
Hierarchical
Archimedean
Copulae
(HAC), where …
Persistent link: https://www.econbiz.de/10009399336
Saved in:
10
Modeling dependence between loss triangles with hierarchical Archimedean copulas
Abdallah, Anas
;
Boucher, Jean-Philippe
;
Cossette, Hélène
- In:
Astin bulletin : the journal of the International …
45
(
2015
)
3
,
pp. 577-599
Persistent link: https://www.econbiz.de/10011397265
Saved in:
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