//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~isPartOf:"The definitive guide to CDOs : market, application, valuation and hedging"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~isPartOf:"Applied economics"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject_exact:"Mehrdimensionale Verteilung"
Narrow search
Delete all filters
| 3 applied filters
Year of publication
From:
To:
Subject
All
Multivariate Verteilung
55
Multivariate distribution
55
Theorie
23
Theory
23
Capital income
18
Kapitaleinkommen
18
Risikomaß
15
Risk measure
15
Portfolio selection
14
Portfolio-Management
14
Statistical distribution
14
Statistische Verteilung
14
copula
13
Estimation
9
Schätzung
9
ARCH model
8
ARCH-Modell
8
Ausreißer
7
Börsenkurs
7
Outliers
7
Share price
7
Time series analysis
7
Volatility
7
Volatilität
7
Zeitreihenanalyse
7
tail dependence
7
Aktienmarkt
6
Estimation theory
6
Schätztheorie
6
Stock market
6
Aktienindex
5
Correlation
5
Credit risk
5
Financial crisis
5
Finanzkrise
5
Forecasting model
5
Korrelation
5
Kreditrisiko
5
Multivariate Analyse
5
Multivariate analysis
5
more ...
less ...
Online availability
All
Undetermined
36
Type of publication
All
Article
55
Type of publication (narrower categories)
All
Article in journal
51
Aufsatz in Zeitschrift
51
Aufsatz im Buch
4
Book section
4
Language
All
English
55
Author
All
Kim, Jong-Min
4
Hammoudeh, Shawkat
3
Hernandez, Jose Arreola
3
Hwang, Sun Young
2
Jammazi, Rania
2
Meissner, Gunter
2
Nguyen, Duc Khuong
2
Shahzad, Syed Jawad Hussain
2
Tiwari, Aviral Kumar
2
Abdulai, Awudu
1
Ahmad, Muhammad Farooq
1
Al-Yahyaee, Khamis Hamed
1
Allen, David E.
1
Almulhim, Tarifa
1
Aloui, Chaker
1
Anderson, David P.
1
Angelo, Claudio F. de
1
Araichi, Sawssen
1
Aslam, Faheem
1
Ayala, Astrid
1
Aziz, Saqib
1
Barbi, Massimiliano
1
Bekiros, Stelios
1
Benlagha, Noureddine
1
Bergmann, Daniel Reed
1
Bianchi, Carluccio
1
Blazsek, Szabolcs
1
Bormann, Carsten
1
Bu, Ruijun
1
Burtschell, Xavier
1
Busetti, Fabio
1
Carta, Alessandro
1
Chang, Kuang-Liang
1
Chen, Jinghui
1
Chen, Yi-ting
1
Cho, Yongbok
1
Chollete, Lorán
1
Contani, Eduardo Augusto do Rosário
1
Czado, Claudia
1
DasGupta, Ranjan
1
more ...
less ...
Published in...
All
The definitive guide to CDOs : market, application, valuation and hedging
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Applied economics
Insurance / Mathematics & economics
95
Energy economics
58
Risks : open access journal
39
Economic modelling
36
European journal of operational research : EJOR
34
International review of financial analysis
33
The North American journal of economics and finance : a journal of financial economics studies
33
Journal of banking & finance
31
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
28
Finance research letters
27
Journal of econometrics
27
SFB 649 discussion paper
27
Journal of risk and financial management : JRFM
24
Discussion paper / Tinbergen Institute
22
Journal of risk
22
The European journal of finance
21
Research in international business and finance
17
International journal of theoretical and applied finance
16
Journal of empirical finance
16
Discussion paper / Center for Economic Research, Tilburg University
15
International review of economics & finance : IREF
15
Applied economics letters
14
Computational economics
14
Econometric reviews
13
Economics letters
13
Journal of international financial markets, institutions & money
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
13
International journal of forecasting
12
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
12
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
Scandinavian actuarial journal
11
Discussion paper
10
Quantitative finance
10
Robustness in econometrics
10
Astin bulletin : the journal of the International Actuarial Association
9
Diskussionspapiere / Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie
9
Econometric theory
9
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
9
more ...
less ...
Source
All
ECONIS (ZBW)
55
Showing
1
-
50
of
55
Sort
Relevance
Date (newest first)
Date (oldest first)
1
Vine copula Granger causality in quantiles
Jang, Hyuna
;
Kim, Jong-Min
;
Noh, Hohsuk
- In:
Applied economics
56
(
2024
)
10
,
pp. 1109-1118
Persistent link: https://www.econbiz.de/10014446535
Saved in:
2
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:
3
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:
4
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:
5
COVID-19 pandemic and the dependence structure of global stock markets
Aslam, Faheem
;
Mughal, Khurrum Shahzad
;
Aziz, Saqib
; …
- In:
Applied economics
54
(
2022
)
18
,
pp. 2013-2031
Persistent link: https://www.econbiz.de/10012875715
Saved in:
6
Do ICT based extension services improve technology adoption and welfare? : empirical evidence from Ghana
Mohammed, Sadick
;
Abdulai, Awudu
- In:
Applied economics
54
(
2022
)
23
,
pp. 2707-2726
Persistent link: https://www.econbiz.de/10013171115
Saved in:
7
Analyzing the EU sovereign debt crisis by a new asymmetric copula with reversible correlations
Kobayashi, Masahito
;
Chen, Jinghui
- In:
Applied economics
54
(
2022
)
56
,
pp. 6497-6509
Persistent link: https://www.econbiz.de/10013411390
Saved in:
8
Dynamic dependence and risk spillovers between RMB onshore spot and offshore NDF markets
Lin, Juan
;
Wu, Ximing
;
Yang, Panye
- In:
Applied economics
54
(
2022
)
60
,
pp. 6850-6862
Persistent link: https://www.econbiz.de/10013494324
Saved in:
9
Modelling dependence and systemic risk between oil prices and BSE sectoral indices using stochastic copula and CoVar, ΔCoVar and MES approaches
Tiwari, Aviral Kumar
;
Pathak, Rajesh
;
DasGupta, Ranjan
; …
- In:
Applied economics
53
(
2021
)
58
,
pp. 6770-6788
Persistent link: https://www.econbiz.de/10012697968
Saved in:
10
Flexible modelling of multivariate risks in pricing margin protection insurance : modelling portfolio risks with mixtures of mixtures
Moosavian, Seyyed Ali Zeytoon Nejad
;
Goodwin, Barry K.
- In:
Applied economics
53
(
2021
)
4
,
pp. 411-440
Persistent link: https://www.econbiz.de/10012416054
Saved in:
11
Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series
Kim, Jong-Min
;
Hwang, Sun Young
- In:
Applied economics
53
(
2021
)
4
,
pp. 506-520
Persistent link: https://www.econbiz.de/10012416072
Saved in:
12
Vine copulas and fuzzy inference to evaluate the solvency capital requirement of multivariate dependent risks
Araichi, Sawssen
;
Almulhim, Tarifa
- In:
Applied economics
53
(
2021
)
52
,
pp. 6058-6074
Persistent link: https://www.econbiz.de/10012650383
Saved in:
13
Optimal look-back period for adequate and less procyclical credit capital forecasts
Lee, Yong Woong
;
Cho, Yongbok
;
Yang, Kisung
- In:
Applied economics
53
(
2021
)
46
,
pp. 5337-5353
Persistent link: https://www.econbiz.de/10012626877
Saved in:
14
Measuring systemic risk with a dynamic copula-based approach
Jang, Hyun Jin
;
Pan, Xiao
;
Park, Sumin
- In:
Applied economics
53
(
2021
)
50
,
pp. 5843-5863
Persistent link: https://www.econbiz.de/10012627102
Saved in:
15
Diamonds and precious metals for reduction of portfolio tail risk
Barbi, Massimiliano
;
Geman, Hélyette
;
Romagnoli, Silvia
- In:
Applied economics
52
(
2020
)
26
,
pp. 2841-2861
Persistent link: https://www.econbiz.de/10012221456
Saved in:
16
Dependence risk analysis in energy, agricultural and precious metals commodities : a pair vine copula approach
Kumar, Satish
;
Tiwari, Aviral Kumar
;
Raheem, I. D.
;
Ji, …
- In:
Applied economics
52
(
2020
)
28
,
pp. 3055-3072
Persistent link: https://www.econbiz.de/10012221480
Saved in:
17
Measuring quantile risk hedging effectiveness : a GO-GARCH-EVT-copula approach
Karnakar, Madhusudan
;
Sharma, Udayan
- In:
Applied economics
52
(
2020
)
48
,
pp. 5244-5262
Persistent link: https://www.econbiz.de/10012307213
Saved in:
18
Regional and copula estimation effects on EU and US energy equity portfolios
Hanif, Waqas
;
Hernandez, Jose Arreola
;
Shahzad, Syed …
- In:
Applied economics
52
(
2020
)
49
,
pp. 5311-5342
Persistent link: https://www.econbiz.de/10012307235
Saved in:
19
Tail dependence risk exposure and diversification potential of Islamic and conventional banks
Hernandez, Jose Arreola
;
Al-Yahyaee, Khamis Hamed
; …
- In:
Applied economics
51
(
2019
)
44
,
pp. 4856-4869
Persistent link: https://www.econbiz.de/10012197121
Saved in:
20
Portfolio selection based on predictive joint return distribution
Jiang, Cuixia
;
Ding, Xiaoyi
;
Xu, Qifa
;
Liu, Yezheng
- In:
Applied economics
51
(
2019
)
2
,
pp. 196-206
Persistent link: https://www.econbiz.de/10012160468
Saved in:
21
Are Islamic bonds a good safe haven for stocks? : implications for portfolio management in a time-varying regime-switching copula framework
Shahzad, Syed Jawad Hussain
;
Aloui, Chaker
;
Jammazi, Rania
- In:
Applied economics
51
(
2019
)
3
,
pp. 219-238
Persistent link: https://www.econbiz.de/10012160482
Saved in:
22
Equity market neutral hedge funds and the stock market : an application of score-driven copula models
Ayala, Astrid
;
Blazsek, Szabolcs
- In:
Applied economics
50
(
2018
)
37
,
pp. 4005-4023
Persistent link: https://www.econbiz.de/10012060246
Saved in:
23
Sovereign bond market dependencies and crisis transmission around the eurozone debt crisis : a dynamic copula approach
Bekiros, Stelios
;
Hammoudeh, Shawkat
;
Jammazi, Rania
; …
- In:
Applied economics
50
(
2018
)
47
,
pp. 5031-5049
Persistent link: https://www.econbiz.de/10012061678
Saved in:
24
Portfolio management with tail dependence
Bergmann, Daniel Reed
;
Savoia, José Roberto Ferreira
; …
- In:
Applied economics
50
(
2018
)
51
,
pp. 5510-5520
Persistent link: https://www.econbiz.de/10012062255
Saved in:
25
Modeling systemic risk : time-varying tail dependence when forecasting marginal expected shortfall
Eckernkemper, Tobias
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
1
,
pp. 63-117
Persistent link: https://www.econbiz.de/10011987686
Saved in:
26
Relationship between oil price and exchange rate by FDA and copula
Kim, Jong-Min
;
Jung, Hojin
- In:
Applied economics
50
(
2018
)
22
,
pp. 2486-2499
Persistent link: https://www.econbiz.de/10011850251
Saved in:
27
A new measure of vector dependence, with applications to financial risk and contagion
Medovikov, Ivan
;
Prokhorov, Artem
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 474-503
Persistent link: https://www.econbiz.de/10011987541
Saved in:
28
Global financial crisis and dependence risk analysis of sector portfolios : a vine copula approach
Hernandez, Jose Arreola
;
Hammoudeh, Shawkat
;
Nguyen, …
- In:
Applied economics
49
(
2017
)
25
,
pp. 2409-2427
Persistent link: https://www.econbiz.de/10011819424
Saved in:
29
Commodity currencies and commodity prices : modelling static and time-varying dependence
Ignatieva, Ekaterina
;
Ponomareva, Natalia
- In:
Applied economics
49
(
2017
)
15
,
pp. 1491-1512
Persistent link: https://www.econbiz.de/10011813615
Saved in:
30
A comparison of risk aggregation estimates using copulas and Fleishman distributions
Van Vuuren, Gary
;
De Jongh, Riaan
- In:
Applied economics
49
(
2017
)
17
,
pp. 1715-1731
Persistent link: https://www.econbiz.de/10011815395
Saved in:
31
Tail dependence analysis of stock markets using extreme value theory
Singh, Abhay Kumar
;
Allen, David E.
;
Powell, Robert
- In:
Applied economics
49
(
2017
)
45
,
pp. 4588-4599
Persistent link: https://www.econbiz.de/10011844236
Saved in:
32
Non-linear dependence modelling with bivariate copulas : statistical arbitrage pairs trading on the S&P 100
Krauss, Christopher
;
Stübinger, Johannes
- In:
Applied economics
49
(
2017
)
52
,
pp. 5352-5369
Persistent link: https://www.econbiz.de/10011845139
Saved in:
33
A new test procedure for the choice of dependence structure in risk measurement : application to the US and UK stock market indices
Shim, Jeungbo
;
Lee, Eun-joo
;
Lee, Seung-Hwan
- In:
Applied economics
48
(
2016
)
13/15
,
pp. 1382-1389
Persistent link: https://www.econbiz.de/10011433225
Saved in:
34
Beyond dimension two : a test for higher-order tail risk
Bormann, Carsten
;
Schaumburg, Julia
;
Schienle, Melanie
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 552-580
Persistent link: https://www.econbiz.de/10011623690
Saved in:
35
Exceedance correlation tests for financial returns
Chen, Yi-ting
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 581-616
Persistent link: https://www.econbiz.de/10011623694
Saved in:
36
Extreme dependence in price transmission analysis
Qiu, Feng
;
Rude, James
- In:
Applied economics
48
(
2016
)
46/48
,
pp. 4379-4392
Persistent link: https://www.econbiz.de/10011640095
Saved in:
37
Synthetic CDO pricing : the perspective of risk integration
Hu, Conghui
;
Zhang, Xun
;
Gao, Qiuming
- In:
Applied economics
47
(
2015
)
13/15
,
pp. 1574-1587
Persistent link: https://www.econbiz.de/10010512015
Saved in:
38
Forecasting US real house price returns over 1831 - 2013 : evidence from copula models
Gupta, Rangan
;
Majumdar, Anandamayee
- In:
Applied economics
47
(
2015
)
46/48
,
pp. 5204-5213
Persistent link: https://www.econbiz.de/10011318337
Saved in:
39
Tail dependence and diversification benefits in emerging market stocks : an extreme value theory approach
Ergen, Ibrahim
- In:
Applied economics
46
(
2014
)
19/21
,
pp. 2215-2227
Persistent link: https://www.econbiz.de/10010417299
Saved in:
40
Dependence structure between nominal and index-linked bond returns : a bivariate copula and DCC-GARCH approach
Benlagha, Noureddine
- In:
Applied economics
46
(
2014
)
31/33
,
pp. 3849-3860
Persistent link: https://www.econbiz.de/10010419885
Saved in:
41
Identifying asymmetric comovements of international stock market returns
Li, Fuchun
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
3
,
pp. 507-543
Persistent link: https://www.econbiz.de/10010391948
Saved in:
42
Modelling the dependence structures of Australian iTraxx CDS index
Fenech, Jean-pierre
;
Vosgha, Hamed
;
Shafik, Salwa
- In:
Applied economics
46
(
2014
)
4/6
,
pp. 420-431
Persistent link: https://www.econbiz.de/10010358995
Saved in:
43
Market volatility and the dynamic hedging of multi-commodity price risk
Power, Gabriel J.
;
Vedenov, Dmitry V.
;
Anderson, David P.
; …
- In:
Applied economics
45
(
2013
)
25/27
,
pp. 3891-3903
Persistent link: https://www.econbiz.de/10010345840
Saved in:
44
A dynamic copula approach to recovering the index implied volatility skew
Fengler, Matthias R.
;
Herwartz, Helmut
;
Werner, Christian
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
3
,
pp. 457-493
Persistent link: https://www.econbiz.de/10009571516
Saved in:
45
Modeling multivariate interest rates using time-varying copulas and reducible nonlinear stochastic differential equations
Bu, Ruijun
;
Giet, Ludovic
;
Hadri, Kaddour
;
Lubrano, Michel
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
1
,
pp. 198-236
Persistent link: https://www.econbiz.de/10009125140
Saved in:
46
When is a copula constant? : a test for changing relationships
Busetti, Fabio
;
Harvey, Andrew C.
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
1
,
pp. 106-131
Persistent link: https://www.econbiz.de/10009125155
Saved in:
47
Bayesian inference for multivariate copulas using pair-copula constructions
Min, Aleksey
;
Czado, Claudia
- In:
Journal of financial econometrics : official journal of …
8
(
2010
)
4
,
pp. 511-546
Persistent link: https://www.econbiz.de/10008665740
Saved in:
48
A copula-VAR-X approach for industrial production modelling and forecasting
Bianchi, Carluccio
;
Carta, Alessandro
;
Fantazzini, Dean
; …
- In:
Applied economics
42
(
2010
)
25/27
,
pp. 3267-3277
Persistent link: https://www.econbiz.de/10008748842
Saved in:
49
Linear correlation and EVT : properties and caveats
Embrechts, Paul
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
1
,
pp. 30-39
Persistent link: https://www.econbiz.de/10003825739
Saved in:
50
Modeling international financial returns with a multivariate regime-switching copula
Chollete, Lorán
;
Heinen, Andréas
;
Valdesogo, Alfonso
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
4
,
pp. 437-480
Persistent link: https://www.econbiz.de/10003907528
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->