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isPartOf:"Working papers / Ryerson University, Department of Economics"
~isPartOf:"Applied economics letters"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
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Multivariate Verteilung
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Working papers / Ryerson University, Department of Economics
Applied economics letters
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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1
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:
2
Climate derivatives strategies as an alternative to set up guaranteed prices for agricultural producers in México
Cruz-Aké, Salvador
;
García-Ruiz, Reyna Susana
; …
- In:
Applied economics letters
30
(
2023
)
3
,
pp. 302-318
Persistent link: https://www.econbiz.de/10013553404
Saved in:
3
The impacts of COVID-19 on the dependence structure of the stock market
Kim, Jong-Min
;
Jung, Hojin
- In:
Applied economics letters
30
(
2023
)
4
,
pp. 510-515
Persistent link: https://www.econbiz.de/10013553675
Saved in:
4
A revisit to size anomalies in U.S. bank stock returns by panel copula
Kim, Jong-Min
;
Jung, Hojin
;
Yang, Brian
- In:
Applied economics letters
29
(
2022
)
8
,
pp. 750-754
Persistent link: https://www.econbiz.de/10013171048
Saved in:
5
Financial derivatives and default dependence : a time-varying copula approach
Zhang, Xuan
;
Liu, Ding
;
Zhao, Yang
;
Zhang, Zhekai
- In:
Applied economics letters
28
(
2021
)
11
,
pp. 958-963
Persistent link: https://www.econbiz.de/10012589711
Saved in:
6
A copula-based systemic risk measure : application to investment-grade and high-yield CDS portfolios
Choi, So Eun
;
Jang, Hyun Jin
;
Choe, Geon Ho
- In:
Applied economics letters
27
(
2020
)
15
,
pp. 1264-1271
Persistent link: https://www.econbiz.de/10012267120
Saved in:
7
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:
8
Asymmetric downside and upside co-movements between stock and REIT markets
Chang, Kuang-Liang
- In:
Applied economics letters
25
(
2018
)
2
,
pp. 78-82
Persistent link: https://www.econbiz.de/10011853694
Saved in:
9
Time-varying dependence structures of equity markets of China, ASEAN and the USA
Li, Baoxia
;
Zeng, Zhi
- In:
Applied economics letters
25
(
2018
)
2
,
pp. 87-91
Persistent link: https://www.econbiz.de/10011853697
Saved in:
10
Asymmetric dependence between aggregate consumption and financial risk
Chollete, Lorán
;
Ning, Cathy Q.
-
2012
Persistent link: https://www.econbiz.de/10011382416
Saved in:
11
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:
12
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:
13
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:
14
Modelling impact of monetary policy on stock market liquidity : a dynamic copula approach
Chu, Xiaojun
- In:
Applied economics letters
22
(
2015
)
10/12
,
pp. 820-824
Persistent link: https://www.econbiz.de/10011286077
Saved in:
15
Extreme dependence in international stock markets
Ning, Cathy Q.
-
2009
Persistent link: https://www.econbiz.de/10008758209
Saved in:
16
Modeling asymmetric volatility clusters using copulas and high frequency data
Ning, Cathy Q.
;
Xu, Dinghai
;
Wirjanto, Tony S.
-
2009
Persistent link: https://www.econbiz.de/10008758211
Saved in:
17
The dependence structure of macroeconomic variables in the US
Chollete, Lor´an
;
Ning, Cathy Q.
-
2009
Persistent link: https://www.econbiz.de/10008758212
Saved in:
18
Dynamic hedging in stock index futures via copula multiplicative error model
Chen, Wen-Chin
;
Liu, Kai-ping
;
Yang, Yung-lieh
;
Lai, Yi-hao
- In:
Applied economics letters
21
(
2014
)
10/12
,
pp. 801-805
Persistent link: https://www.econbiz.de/10010416262
Saved in:
19
Modelling tail dependence between energy market and stock markets in the BRIC countries
Pan, Zhiyuan
- In:
Applied economics letters
21
(
2014
)
10/12
,
pp. 789-794
Persistent link: https://www.econbiz.de/10010416269
Saved in:
20
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:
21
A note on a simplified and general approach to simulating from multivariate copula functions
Goodwin, Barry K.
- In:
Applied economics letters
20
(
2013
)
7/9
,
pp. 910-915
Persistent link: https://www.econbiz.de/10009763255
Saved in:
22
Tail dependence between Central and Eastern European and major European stock markets : a copula approach
Dajcman, Silvo
- In:
Applied economics letters
20
(
2013
)
16/18
,
pp. 1567-1573
Persistent link: https://www.econbiz.de/10010221720
Saved in:
23
Marginal or copula : which one is critical?
Choi, Pilsun
;
Min, Insik
- In:
Applied economics letters
20
(
2013
)
16/18
,
pp. 1462-1465
Persistent link: https://www.econbiz.de/10010213173
Saved in:
24
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:
25
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:
26
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:
27
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:
28
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:
29
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:
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