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Search: subject_exact:"Multivariate Verteilung"
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Multivariate Verteilung
2,379
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Okhrin, Ostap
38
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21
Tiwari, Aviral Kumar
21
Reboredo, Juan Carlos
19
Härdle, Wolfgang
18
Einmahl, John H. J.
17
Manner, Hans
17
Patton, Andrew J.
17
Segers, Johan
17
Songsak Sriboonchitta
16
Hammoudeh, Shawkat
15
Kim, Jong-Min
15
Lucas, André
15
Zimmer, David M.
15
Cherubini, Umberto
14
Hamori, Shigeyuki
14
Prokhorov, Artem
14
Weiß, Gregor
14
Czado, Claudia
13
Fischer, Matthias
13
Koopman, Siem Jan
13
Anatolyev, Stanislav
12
Chen, Xiaohong
12
Nguyen, Duc Khuong
12
Romagnoli, Silvia
12
Fantazzini, Dean
11
Ghorbel, Ahmed
11
Ning, Cathy Q.
11
Okhrin, Yarema
11
Trivedi, Pravin K.
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Weigert, Florian
11
Allen, David E.
10
Bouri, Elie
10
Embrechts, Paul
10
Heinen, Andréas
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Oh, Dong Hwan
10
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10
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36
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34
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33
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Scandinavian actuarial journal
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Robustness in econometrics
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Econometric theory
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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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USB Cologne (EcoSocSci)
10
EconStor
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201
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:
202
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:
203
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:
204
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:
205
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:
206
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:
207
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:
208
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:
209
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:
210
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
Saved in:
211
Risk implications of dependence in the commodities : a copula-based analysis
Jain, Prachi
;
Maitra, Debasish
- In:
Global finance journal
57
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014479135
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212
Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
Nguyen, Hoang
;
Virbickaitė, Audronė
- In:
Energy economics
124
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014480067
Saved in:
213
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:
214
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:
215
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:
216
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:
217
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:
218
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:
219
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:
220
Factor investing and currency portfolio management
Li, Danyang
;
Zhang, Zhekai
;
Cerrato, Mario
- In:
International review of financial analysis
87
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014460489
Saved in:
221
Non-Gaussian models for CoVaR estimation
Bianchi, Michele Leonardo
;
De Luca, Giovanni
; …
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 391-404
Persistent link: https://www.econbiz.de/10014462788
Saved in:
222
Analysis of stock markets risk spillover with copula models under the background of Chinese financial opening
Du, Jiangze
;
Chen, Xizhuo
;
Gong, Jincheng
;
Lin, Xiao
; …
- In:
International journal of finance & economics : IJFE
28
(
2023
)
4
,
pp. 3997-4019
Persistent link: https://www.econbiz.de/10014429264
Saved in:
223
The stable tail dependence and influence among the European stock markets : a score-driven dynamic copula approach
Barnett, William A.
;
Wang, Xue
;
Xu, Hai-Chuan
;
Zhou, …
- In:
The European journal of finance
29
(
2023
)
16
,
pp. 1933-1956
Persistent link: https://www.econbiz.de/10014388527
Saved in:
224
The oil price-macroeconomy dependence
Serletis, Apostolos
;
Xu, Libo
- In:
Empirical economics : a quarterly journal of the …
65
(
2023
)
6
,
pp. 2501-2520
Persistent link: https://www.econbiz.de/10014388954
Saved in:
225
Asymptotic subadditivity/superadditivity of Value-at-Risk under tail dependence
Zhu, Wenhao
;
Li, Lujun
;
Yang, Jingping
;
Xie, Jiehua
; …
- In:
Mathematical finance : an international journal of …
33
(
2023
)
4
,
pp. 1314-1369
Persistent link: https://www.econbiz.de/10014370668
Saved in:
226
Bayesian multivariate mixed poisson models with copula-based mixture
Zhang, Pengcheng
;
Calderín-Ojeda, Enrique
;
Li, Shuanming
; …
- In:
North American actuarial journal : NAAJ ; leading the …
27
(
2023
)
3
,
pp. 560-578
Persistent link: https://www.econbiz.de/10014373546
Saved in:
227
Joint chance-constrained multi-objective multi-commodity minimum cost network flow problem with copula theory
Khezri, Somayeh
;
Khodayifar, Salman
- In:
Computers & operations research : and their …
156
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014373687
Saved in:
228
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:
229
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:
230
Diversification benefits of commodities in portfolio allocation : a dynamic factor copula approach
Gaete, Michael
;
Herrera, Rodrigo
- In:
Journal of commodity markets
32
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014495646
Saved in:
231
Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets
Ayala, Astrid
;
Blazsek, Szabolcs
;
Licht, Adrian
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
5
,
pp. 705-731
Persistent link: https://www.econbiz.de/10014506866
Saved in:
232
Characterizing correlation matrices that admit a clustered factor representation
Tong, Chen
;
Hansen, Peter Reinhard
- In:
Economics letters
233
(
2023
),
pp. 1-4
Persistent link: https://www.econbiz.de/10014506906
Saved in:
233
Data-driven dynamic treatment planning for chronic diseases
Naumzik, Christof
;
Feuerriegel, Stefan
;
Nielsen, Anne …
- In:
European journal of operational research : EJOR
305
(
2023
)
2
,
pp. 853-867
Persistent link: https://www.econbiz.de/10013479335
Saved in:
234
Maximum utility portfolio construction in the forward freight agreement markets : evidence from a multivariate skewed t copula
Gong, Yuting
;
Wang, Xueqin
;
Zhu, Mo
;
Ge, Ying-En
;
Shi, …
- In:
The journal of futures markets
43
(
2023
)
1
,
pp. 69-89
Persistent link: https://www.econbiz.de/10013465893
Saved in:
235
Volatility and dependence in energy markets
Liu, Jinan
;
Serletis, Apostolos
- In:
Journal of economics and finance : JEF
47
(
2023
)
1
,
pp. 15-37
Persistent link: https://www.econbiz.de/10014227687
Saved in:
236
Robust portfolio optimization based on semi-parametric ARMA-TGARCH-EVT model with mixed copula using WCVaR
Deng, Xue
;
Liang, Ying
- In:
Computational economics
61
(
2023
)
1
,
pp. 267-294
Persistent link: https://www.econbiz.de/10014228426
Saved in:
237
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:
238
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:
239
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:
240
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:
241
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 and trade : EMFT
59
(
2023
)
8
,
pp. 2533-2547
Persistent link: https://www.econbiz.de/10014321005
Saved in:
242
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:
243
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:
244
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:
245
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:
246
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:
247
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:
248
Reassessing the dependence between economic growth and financial conditions since 1973
Chernis, Tony
;
Coe, Patrick J.
;
Vahey, Shaun P.
- In:
Journal of applied econometrics
38
(
2023
)
2
,
pp. 260-267
Persistent link: https://www.econbiz.de/10014287977
Saved in:
249
What drives the designation of protected areas? : accounting for spatial dependence using a composite marginal likelihood approach
Nobel, Anne
;
Lizin, Sebastien
;
Malina, Robert
- In:
Ecological economics : the transdisciplinary journal of …
205
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014258933
Saved in:
250
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:
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