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  • Search: subject:"mixture copula"
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Year of publication
Subject
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Multivariate Verteilung 6 Multivariate distribution 6 Risikomaß 5 Risk measure 5 Copula Selection 4 Mixture Copula 4 Statistical distribution 3 Statistische Verteilung 3 Theorie 3 Theory 3 Copula 2 Financial crisis 2 Finanzkrise 2 Nichtparametrisches Verfahren 2 Nonparametric statistics 2 SCAD 2 South Africa 2 Systemic risk 2 Systemrisiko 2 Südafrika 2 Time-Varying Copula 2 contagion 2 dynamic mixture copula 2 financial crisis 2 financial stability 2 insurance sector 2 marginal expected shortfall 2 mixture Copula 2 systemic risk 2 systemic vulnerability 2 Algorithm 1 Algorithmus 1 Ansteckungseffekt 1 Bankenkrise 1 Banking crisis 1 Conditional Copula 1 Contagion effect 1 Credit risk 1 EM Algorithm 1 EM algorithm 1
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Online availability
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Free 9 CC license 2
Type of publication
All
Book / Working Paper 5 Article 4
Type of publication (narrower categories)
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Working Paper 5 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4 Article 2 Article in journal 2 Aufsatz in Zeitschrift 2
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Language
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English 9
Author
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Cai, Zongwu 5 Liu, Guannan 5 Muteba Mwamba, John 4 Yang, Bingduo 4 Hafner, Christian M. 3 Angaman, Ehounou Serge Eloge Florentin 2 Long, Wei 2 Manguzvane, Mathias Mandla 2 Luo, Xuehong 1
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Published in...
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Working papers series in theoretical and applied economics 4 International Journal of Financial Studies 2 International Journal of Financial Studies : open access journal 2 IRTG 1792 Discussion Paper 1
Source
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ECONIS (ZBW) 6 EconStor 3
Showing 1 - 9 of 9
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Semiparametric conditional mixture copula models with copula selection
Cai, Zongwu; Liu, Guannan; Long, Wei; Luo, Xuehong - 2023
Persistent link: https://www.econbiz.de/10014521027
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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
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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
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/10013040986
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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
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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
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Cover Image
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
Saved in:
Cover Image
Time-varying mixture copula models with copula selection
Yang, Bingduo; Cai, Zongwu; Hafner, Christian M.; Liu, … - 2021
Persistent link: https://www.econbiz.de/10012602628
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Trending Mixture Copula Models with Copula Selection
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
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Cover Image
Trending mixture copula models with copula selection
Yang, Bingduo; Cai, Zongwu; Hafner, Christian M.; Liu, … - 2018
Persistent link: https://www.econbiz.de/10011965829
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