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Multivariate Verteilung
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Kim, Jong-Min
5
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Jammazi, Rania
2
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34
International review of financial analysis
33
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Finance research letters
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SFB 649 discussion paper
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19
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13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
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11
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Scandinavian actuarial journal
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10
Robustness in econometrics
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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ECONIS (ZBW)
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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
Foreign investors, rebalancing trades, and increases in U.S.-Japan stock market correlations
Imai, Hiroyuki
;
Kim, Jong-Min
- In:
Applied economics
56
(
2024
)
47
,
pp. 5634-5649
Persistent link: https://www.econbiz.de/10015051126
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
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:
6
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:
7
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:
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
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:
10
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:
11
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:
12
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:
13
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:
14
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:
15
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:
16
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:
17
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:
18
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:
19
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:
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
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:
23
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:
24
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:
25
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:
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
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:
28
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:
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
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:
32
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:
33
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:
34
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:
35
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:
36
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:
37
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:
38
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:
39
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:
40
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:
41
Applying the copula approach to sample selection modelling
Genius, Margarita
;
Strazzera, Elisabetta
- In:
Applied economics
40
(
2008
)
10/12
,
pp. 1443-1455
Persistent link: https://www.econbiz.de/10003742975
Saved in:
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