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251
Linear time-varying regression with copula-DCC-asymmetric-GARCH models for volatility : the co-movement between industrial electricity demand and financial factors
Kim, Yunsun
;
Hwang, Sun Young
;
Kim, Jong-Min
;
Kim, Sahm
- In:
Applied economics
55
(
2023
)
3
,
pp. 255-272
Persistent link: https://www.econbiz.de/10013494421
Saved in:
252
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
Saved in:
253
Conditional inferences based on vine copulas with applications to credit spread data of corporate bonds
Pan, Shenyi
;
Joe, Harry
;
Li, Guofu
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 714-741
Persistent link: https://www.econbiz.de/10014314788
Saved in:
254
Risk aggregation with FGM copulas
Blier-Wong, Christopher
;
Cossette, Hélène
;
Marceau, …
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 102-120
Persistent link: https://www.econbiz.de/10014316667
Saved in:
255
Solvency II and diversification effect for non-life premium and reserves risk : new results based on non-parametric copulas
Szczęsny, Krystian
;
Wanat, Stanisław
;
Denkowska, Anna
- In:
Risk management : an international journal
25
(
2023
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10014326598
Saved in:
256
Multivariate models of commodity futures markets : a dynamic copula approach
Chen, Sihong
;
Li, Qi
;
Wang, Qiaoyu
;
Zhang, Yu Yvette
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
6
,
pp. 3037-3057
Persistent link: https://www.econbiz.de/10014329023
Saved in:
257
Probabilistic load forecasting using post-processed weather ensemble predictions
Ludwig, Nicole Nadine
;
Arora, Siddharth
;
Taylor, James W.
- In:
Journal of the Operational Research Society
74
(
2023
)
3
,
pp. 1008-1020
Persistent link: https://www.econbiz.de/10014333330
Saved in:
258
COVID-19 and stock returns : evidence from the Markov switching dependence approach
Bouteska, Ahmed
;
Sharif, Taimur
;
Abedin, Mohammad Zoynul
- In:
Research in international business and finance
64
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014279046
Saved in:
259
Dependence modeling of frequency-severity of insurance claims using waiting time
Gao, Guangyuan
;
Li, Jiahong
- In:
Insurance / Mathematics & economics
109
(
2023
),
pp. 29-51
Persistent link: https://www.econbiz.de/10014282468
Saved in:
260
Linking Covid-19 epidemic and emerging market OAS : evidence using dynamic Copulas and Pareto distributions
Chitou, Imdade
;
Dufrénot, Gilles
;
Esposito, Julien
- In:
Behavioral Finance and Asset Prices : The Influence of …
,
(pp. 45-81)
.
2023
Persistent link: https://www.econbiz.de/10014282547
Saved in:
261
Copula sensitivity analysis for portfolio credit derivatives
Lei, Lei
;
Peng, Yijie
;
Fu, Michael
;
Hu, Jian-Qiang
- In:
European journal of operational research : EJOR
308
(
2023
)
1
,
pp. 455-466
Persistent link: https://www.econbiz.de/10014283065
Saved in:
262
From point forecasts to multivariate probabilistic forecasts : the Schaake shuffle for day-ahead electricity price forecasting
Grothe, Oliver
;
Kächele, Fabian
;
Krüger, Fabian
- In:
Energy economics
120
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014283270
Saved in:
263
The beneficial role of green bonds as a new strategic asset class : dynamic dependencies, allocation and diversification before and during the pandemic era
Martiradonna, Monica
;
Romagnoli, Silvia
;
Santini, Amia
- In:
Energy economics
120
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014284561
Saved in:
264
Vector copulas
Fan, Yanqin
;
Henry, Marc
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 128-150
Persistent link: https://www.econbiz.de/10014364686
Saved in:
265
The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization
Salazar Flores, Yuri
;
Díaz Hernández, Adán
; …
- In:
Applied economics
55
(
2023
)
37
,
pp. 4289-4303
Persistent link: https://www.econbiz.de/10014301231
Saved in:
266
Dependence structure and risk spillover among nonferrous metal futures : a vine copula approach
Ouyang, Ruolan
;
Ma, Jinming
;
Xiao, Xiaoxia
- In:
Applied economics letters
30
(
2023
)
9
,
pp. 1253-1260
Persistent link: https://www.econbiz.de/10014303863
Saved in:
267
Stress testing bank insolvency risk by systemic equity market shock : an expected shortfall approach
Yang, Hank Z.
- In:
Journal of risk management in financial institutions
16
(
2022/2023
)
3
,
pp. 211-227
Persistent link: https://www.econbiz.de/10014320203
Saved in:
268
Measuring non-exchangeable tail dependence using tail copulas
Koike, Takaaki
;
Kato, Shogo
;
Hofert, Marius
- In:
ASTIN bulletin : the journal of the International …
53
(
2023
)
2
,
pp. 466-487
Persistent link: https://www.econbiz.de/10014320337
Saved in:
269
What leads to the changes of volatility spillover effect between Chinese and American soybean futures markets?
Wang, Yubin
;
Wang, Xiaoyang
;
Liu, Bruce Jianhe
;
Xu, Mingyuan
- In:
Emerging markets, finance & trade : a journal of the …
59
(
2023
)
8
,
pp. 2533-2547
Persistent link: https://www.econbiz.de/10014321005
Saved in:
270
An application of copulas to OPEC's changing influence on fossil fuel prices
Graziano, Clara
;
McInnes, Alex
- In:
Econometric reviews
42
(
2023
)
8
,
pp. 676-699
Persistent link: https://www.econbiz.de/10014321661
Saved in:
271
Portfolio management using time-varying vine copula : an application on the G7 equity market indices
Nguyen, Phong Minh
;
Liu, Wei-Han
- In:
The European journal of finance
29
(
2023
)
11
,
pp. 1303-1329
Persistent link: https://www.econbiz.de/10014323006
Saved in:
272
Identification of causal mechanisms from randomized experiments : a framework for endogenous mediation analysis
Peng, Jing
- In:
Information systems research : ISR
34
(
2023
)
1
,
pp. 67-84
Persistent link: https://www.econbiz.de/10014323359
Saved in:
273
Incorporating ESG into optimal stock portfolios for the global timber & forestry industry
Lööf, Hans
;
Sahamkhadam, Maziar
;
Stephan, Andreas
- In:
Journal of forest economics : JFE
38
(
2023
)
2
,
pp. 133-157
Persistent link: https://www.econbiz.de/10014323531
Saved in:
274
The estimation of a polluting by-production technology using statistical copulas
Repkine, Alexandre
- In:
Journal of productivity analysis : an official journal …
60
(
2023
)
1
,
pp. 49-62
Persistent link: https://www.econbiz.de/10014323641
Saved in:
275
Forecasting liquidity-adjusted VaR : a conditional EVT-copula approach
Karmakar, Madhusudan
;
Khadotra, Ravi
- In:
Review of financial economics : RFE
41
(
2023
)
3
,
pp. 283-321
Persistent link: https://www.econbiz.de/10014336153
Saved in:
276
Modelling credit card exposure at default using vine copula quantile regression
Wattanawongwan, Suttisak
;
Mues, Christophe
;
Okhrati, Ramin
- In:
European journal of operational research : EJOR
311
(
2023
)
1
,
pp. 387-399
Persistent link: https://www.econbiz.de/10014336533
Saved in:
277
Forecasting nonlinear dependency between cryptocurrencies and foreign exchange markets using dynamic copula : evidence from GAS models
Mili, Mehdi
;
Bouteska, Ahmed
- In:
The journal of risk finance : JRF
24
(
2023
)
4
,
pp. 464-482
Persistent link: https://www.econbiz.de/10014338629
Saved in:
278
A new model for forecasting VaR and ES using intraday returns aggregation
Song, Shijia
;
Li, Handong
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1039-1054
Persistent link: https://www.econbiz.de/10014338800
Saved in:
279
Volatility spillover effect between Pakistan and Shanghai Stock Exchanges using copula and dynamic conditional correlation model
Afzal, Fahim
;
Choudhury, Tonmoy
;
Kamran, Muhammad
- In:
International journal of Islamic and Middle Eastern …
16
(
2023
)
1
,
pp. 59-80
Persistent link: https://www.econbiz.de/10014339621
Saved in:
280
GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets
Yao, Can-Zhong
;
Li, Min-Jian
- In:
The North American journal of economics and finance : a …
66
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014483642
Saved in:
281
Nonlinear and asymmetric interconnectedness of crude oil with financial and commodity markets
Okhrin, Yarema
;
Uddin, Mohammed Gazi Salah
;
Yahya, Muhammad
- In:
Energy economics
125
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014485235
Saved in:
282
Who's afraid of a Texas hedge?
Power, Gabriel J.
;
Vedenov, Dmitrij V.
- In:
Energy economics
127
(
2023
)
2
,
pp. 1-12
Persistent link: https://www.econbiz.de/10014489962
Saved in:
283
Analyzing spillover effects among BRICS stock markets : application of COPULA and DCC-MGARCH model
Tripathy, Nalini Prava
;
Panda, Pradiptarathi
- In:
Review of Pacific Basin financial markets and policies …
26
(
2023
)
4
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014490381
Saved in:
284
Time-varying dependence and currency tail risk during the Covid-19 pandemic
Gobbi, Fabio
;
Mulinacci, Sabrina
- In:
Studies in economics and finance
40
(
2023
)
5
,
pp. 839-858
Persistent link: https://www.econbiz.de/10014467159
Saved in:
285
Portfolio optimization through hybrid deep learning and genetic algorithms vine Copula-GARCH-EVT-CVaR model
Bedoui, Rihab
;
Benkraiem, Ramzi
;
Guesmi, Khaled
; …
- In:
Technological forecasting & social change : an …
197
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014468847
Saved in:
286
Bitcoin vs. fiat currencies : insights from extreme dependence and risk spillover analysis with financial markets
Abid, Ilyes
;
Bouri, Elie
;
Galariotis, Emilios
;
Guesmi, …
- In:
International review of financial analysis
90
(
2023
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014469176
Saved in:
287
A new view of risk contagion by decomposition of dependence structure : Empirical analysis of Sino-US stock markets
Zheng, Yanting
;
Luan, Xin
;
Xin, Lu
;
Liu, Jiaming
- In:
International review of financial analysis
90
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014470629
Saved in:
288
Estimation and inference in factor copula models with exogenous covariates
Mayer, Alexander
;
Wied, Dominik
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 1500-1521
Persistent link: https://www.econbiz.de/10014471408
Saved in:
289
Estimation and inference in a high-dimensional semiparametric Gaussian copula vector autoregressive model
Fan, Yanqin
;
Han, Fang
;
Park, Hyeonseok
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014471479
Saved in:
290
Dynamic factor copula models with estimated cluster assignments
Oh, Dong Hwan
;
Patton, Andrew J.
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014471820
Saved in:
291
Modeling volatility and dependence of European carbon and energy prices
Berrisch, Jonathan
;
Pappert, Sven
;
Ziel, Florian
; …
- In:
Finance research letters
52
(
2023
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014471974
Saved in:
292
Copula approach to market volatility and technology stocks dependence
Rašiová, Barbara
;
Árendáš, Peter
- In:
Finance research letters
52
(
2023
),
pp. 1-3
Persistent link: https://www.econbiz.de/10014472041
Saved in:
293
Some systemic risk indicators
El Qalli, Yassine
;
Said, Khalil
- In:
Risk and decision analysis
9
(
2023
)
2/4
,
pp. 39-56
Persistent link: https://www.econbiz.de/10014473406
Saved in:
294
FTX Collapse and systemic risk spillovers from FTX Token to major cryptocurrencies
Bouri, Elie
;
Kamal, Elham
;
Kinateder, Harald
- In:
Finance research letters
56
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014473652
Saved in:
295
How does bubble risk propagate among financial assets? : a perspective from the BSADF-vine copula model
Yao, Can-Zhong
;
Li, Min-Jian
;
Xu, Xin
- In:
International review of economics & finance : IREF
88
(
2023
),
pp. 347-364
Persistent link: https://www.econbiz.de/10014475372
Saved in:
296
Beyond climate and conflict relationships : new evidence from a Copula-based analysis on an historical perspective
Damette, Olivier
;
Goutte, Stéphane
- In:
Journal of comparative economics : the journal of the …
51
(
2023
)
1
,
pp. 295-323
Persistent link: https://www.econbiz.de/10014452436
Saved in:
297
ESG, risk, and (tail) dependence
Bax, Karoline
;
Sahin, Özge
;
Czado, Claudia
;
Paterlini, …
- In:
International review of financial analysis
87
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014456333
Saved in:
298
Dynamic relationship between Stock and Bond returns : A GAS MIDAS copula approach
Nguyen, Hoang
;
Javed, Farrukh
- In:
Journal of empirical finance
73
(
2023
),
pp. 272-292
Persistent link: https://www.econbiz.de/10014477029
Saved in:
299
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
Saved in:
300
A financial modeling approach to industry exchange-traded funds selection
Conlon, Thomas
;
Cotter, John
;
Kovalenko, Illia
;
Post, …
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014477136
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