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On the distribution of sums of random variables with copula-induced dependence

Gijbels, Irène; Herrmann, Klaus - In: Insurance: Mathematics and Economics 59 (2014) C, pp. 27-44

We investigate distributional properties of the sum of d possibly unbounded random variables. The joint distribution of the random vector is formulated by means of an absolutely continuous copula, allowing for a variety of different dependence structures between the summands. The obtained...

Persistent link: https://www.econbiz.de/10011116644

An alternative maximum entropy model for time-varying moments with application to financial returns

Herrmann, Klaus; Fischer, Matthias - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 3, pp. 1-21

Persistent link: https://www.econbiz.de/10009949970

An alternative maximum entropy model for time-varying moments with application to financial returns

Herrmann, Klaus; Fischer, Matthias - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 3, pp. 1-21

Persistent link: https://www.econbiz.de/10009515146

Hunting for black swans in the European banking sector using extreme value analysis

Beirlant, Jan; Schoutens, Wim; De Spiegeleer, Jan; … - In: Advanced modelling in mathematical finance : in honour …, (pp. 147-166). 2016

Persistent link: https://www.econbiz.de/10011800355

Optimal expected-shortfall portfolio selection with copula-induced dependence

Gijbels, Irène; Herrmann, Klaus - In: Applied mathematical finance 25 (2018) 1/2, pp. 66-106

Persistent link: https://www.econbiz.de/10011959117

Multivariate geometric tail- and range-value-at-risk

Herrmann, Klaus; Hofert, Marius; Mailhot, Mélina - In: ASTIN bulletin : the journal of the International … 50 (2020) 1, pp. 265-292

Persistent link: https://www.econbiz.de/10012194132