Search Results - subject:"mixture Copula"

Semiparametric conditional mixture copula models with copula selection

Cai, Zongwu; Liu, Guannan; Long, Wei; Luo, Xuehong - 2023

Persistent link: https://www.econbiz.de/10014521027

South African banks' cross-border systemic risk exposure: An application of the gas copula marginal expected shortfall

Manguzvane, Mathias Mandla; Muteba Mwamba, John - In: International Journal of Financial Studies 10 (2022) 1, pp. 1-19

Systemic susceptibility highlights the extent to which a banking sector is sensitive to negative shocks. Policymakers and regulators' objective is to avoid financial crises, and even though they can somewhat control local conditions, internationally transmitted crises are difficult to tackle....

Persistent link: https://www.econbiz.de/10013200416

South African banks' cross-border systemic risk exposure : an application of the gas copula marginal expected shortfall

Manguzvane, Mathias Mandla; Muteba Mwamba, John - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10013040986

Modeling system risk in the South African insurance sector: A dynamic mixture copula approach

Muteba Mwamba, John; Angaman, Ehounou Serge Eloge Florentin - In: International Journal of Financial Studies 9 (2021) 2, pp. 1-17

In this paper, a dynamic mixture copula model is used to estimate the marginal expected shortfall in the South African …

Persistent link: https://www.econbiz.de/10013200354

Semiparametric estimation and model selection for conditional mixture copula models

Liu, Guannan; Long, Wei; Yang, Bingduo; Cai, Zongwu - 2021

Persistent link: https://www.econbiz.de/10012425393

Modeling system risk in the South African insurance sector : a dynamic mixture copula approach

Muteba Mwamba, John; Angaman, Ehounou Serge Eloge Florentin - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-17

In this paper, a dynamic mixture copula model is used to estimate the marginal expected shortfall in the South African …

Persistent link: https://www.econbiz.de/10012545189

Time-varying mixture copula models with copula selection

Yang, Bingduo; Cai, Zongwu; Hafner, Christian M.; Liu, … - 2021

Persistent link: https://www.econbiz.de/10012602628

The tail dependence structure between return and trading volume : an investigation on the Bitcoin market

Chang, Kuang-Liang - In: Applied economics 55 (2023) 11, pp. 1234-1246

Persistent link: https://www.econbiz.de/10013499060

The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate

Chang, Kuang-Liang - In: Journal of international money and finance 133 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014304729

Yang, Bingduo; Cai, Zongwu; Hafner, Christian M.; Liu, … - 2018

introduce a new nonparametric time-varying mixture copula model, in which both weights and dependence parameters are … deterministic functions of time. We propose penalized trending mixture copula models with group smoothly clipped absolute deviation … that the shrinkage estimation procedure performs well in selecting and estimating both constant and trending mixture copula …

Persistent link: https://www.econbiz.de/10012433206