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copula
9
multivariate distribution
4
Archimedean copula
3
Copula
2
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1
Compass Rose
1
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1
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1
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crop insurance
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5
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Okhrin, Ostap
9
Hautsch, Nikolaus
3
Härdle, Wolfgang Karl
2
Okhrin, Yarema
2
Ristig, Alexander
2
Bodnar, Taras
1
Choros-Tomczyk, Barbara
1
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1
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1
Schmid, Wolfgang
1
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1
Song, Peter X.-K.
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1
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Zhou, Qian M.
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
13
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SFB 649 Discussion Papers
Insurance / Mathematics & economics
29
Applied economics
25
Energy economics
24
Journal of Multivariate Analysis
21
MPRA Paper
19
The North American journal of economics and finance : a journal of financial economics studies
19
Insurance: Mathematics and Economics
15
SFB 649 Discussion Paper
15
Journal of banking & finance
14
European journal of operational research : EJOR
13
International review of financial analysis
13
Journal of econometrics
13
Risks : open access journal
13
Applied Econometrics
12
Economic modelling
12
Post-Print / HAL
12
Statistics & Probability Letters
12
Econometric reviews
11
Statistics & Risk Modeling
11
International review of economics & finance : IREF
10
Risks
10
Discussion Paper / Tilburg University, Center for Economic Research
9
Economics letters
9
Journal of Banking & Finance
9
Journal of Risk and Financial Management
9
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
9
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
9
Applied economics letters
8
Finance research letters
8
Journal of international financial markets, institutions & money
8
Journal of risk and financial management : JRFM
8
Research in international business and finance
8
Statistical Papers / Springer
8
Working Paper
8
Discussion paper / Center for Economic Research, Tilburg University
7
Diskussionspapier
7
Physica A: Statistical Mechanics and its Applications
7
The European Journal of Finance
7
Tinbergen Institute Discussion Papers
7
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RePEc
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1
Overreaction and Multiple Tail Dependence at the High-frequency Level — The
Copula
Rose
Ng, Wing Lon
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2006
This paper applies a non- and a semiparametric
copula
-based approach to analyze the first-order autocorrelation of …
Persistent link: https://www.econbiz.de/10005489950
Saved in:
2
Goodness-of-fit Test for Specification of Semiparametric
Copula
Dependence Models
Zhang, Shulin
;
Okhrin, Ostap
;
Zhou, Qian M.
;
Song, …
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2013
This paper concerns goodness-of-fit test for semiparametric
copula
models. Our contribution is two-fold: we first … use of any probability integral transformations. Under the null hypothesis that the
copula
model is correctly specified …
Persistent link: https://www.econbiz.de/10010691293
Saved in:
3
Properties of Hierarchical Archimedean Copulas
Okhrin, Ostap
;
Okhrin, Yarema
;
Schmid, Wolfgang
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2009
Archimedean copulas and allows for general non-exchangeable dependency structures. We show that the structure of the
copula
can be … uniquely recovered from all bivariate margins. We derive the distribution of the
copula
value, which is particularly useful for …
Persistent link: https://www.econbiz.de/10005489955
Saved in:
4
Copula
Dynamics in CDOs
Choros-Tomczyk, Barbara
;
Härdle, Wolfgang Karl
; …
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2012
Gaussian, the NIG, the double-t, and the Gumbel
copula
model. After calibration of these models one obtains a time varying …
Persistent link: https://www.econbiz.de/10011184070
Saved in:
5
Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models
Hautsch, Nikolaus
;
Okhrin, Ostap
;
Ristig, Alexander
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2014
We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the parameter vector, the procedure yields...
Persistent link: https://www.econbiz.de/10010735445
Saved in:
6
Estimation procedures for exchangeable Marshall copulas with hydrological application
Durante, Fabrizio
;
Okhrin, Ostap
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2014
. In order to describe such situations,
copula
-based models have been studied during the last year. In this paper, we …
Persistent link: https://www.econbiz.de/10010735914
Saved in:
7
De copulis non est disputandum -
Copulae
: An Overview
Härdle, Wolfgang
;
Okhrin, Ostap
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2009
. Nevertheless it is not very often consistent with the real data.
Copulae
allows for an extension of the classical time series … models to nonelliptically distributed residuals. In this paper we apply different
copulae
to the calculation of the static … and dynamic Value-at-Risk of portfolio returns and Profit-and-Loss function. In our findings
copula
based multivariate …
Persistent link: https://www.econbiz.de/10005016234
Saved in:
8
On the Systemic Nature of Weather Risk
Filler, Guenther
;
Odening, Martin
;
Okhrin, Ostap
;
Xu, Wei
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2009
conditions in different locations. For that purpose
copula
methods are employed that allow an adequate description of stochastic …
Persistent link: https://www.econbiz.de/10005677926
Saved in:
9
Fitting high-dimensional
Copulae
to Data
Okhrin, Ostap
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2010
This paper make an overview of the
copula
theory from a practical side. We consider different methods of
copula
… Gaussian
copulae
but also Hierarchical Archimedean
Copulae
. Afterwards we provide an empirical part to support the theory. …
Persistent link: https://www.econbiz.de/10008552435
Saved in:
10
Time varying Hierarchical Archimedean
Copulae
Härdle, Wolfgang Karl
;
Okhrin, Ostap
;
Okhrin, Yarema
-
Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2010
promising class of models are the hierarchical Archimedean
copulae
(HAC) that allow for non-exchangeable and non … for stock indices the
copula
parameter changes dynam- ically but the hierarchical structure is constant over time …
Persistent link: https://www.econbiz.de/10008522322
Saved in:
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