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Unter verallgemeinerter Mittelwertbildung abgeschlossene Familien von Copulas

Klein, Ingo - 2010

We will identify sufficient and partly necessary conditions for a family of copulas to be closed under the construction of generalized linear mean values. These families of copulas generalize results well-known from the literature for the Farlie-Gumbel-Morgenstern (FGM), the Ali-Mikhai-Haq (AMH)...

Persistent link: https://www.econbiz.de/10010303831

Families of copulas closed under the construction of generalized linear means

Klein, Ingo; Christa, Florian - 2011

Persistent link: https://www.econbiz.de/10010304299

A new class of copulas with tail dependence and a generalized tail dependence estimator

Fischer, Matthias J.; Hinzmann, Gerd - 2006

dependence. It includes the Spearman copula and a specific Fréchet copula as special cases. Some properties and a generalized …

Persistent link: https://www.econbiz.de/10010299766

Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression

Allen, David E.; Singh, Abhay K.; Powell, Robert J.; … - 2013

copulabased non linear quantile regression known as copula quantile regression (CQR).The discussion of the properties of the …

Persistent link: https://www.econbiz.de/10010326227

Conditional systemic risk with penalized copula

Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015

, conditional quantiles are specified via hierarchical Archimedean copula. The parameters and structure of this copula are …

Persistent link: https://www.econbiz.de/10011380687

Volatility modeling and dependence structure of ESG and conventional investments

Górka, Joanna; Kuziak, Katarzyna - In: Risks 10 (2022) 1, pp. 1-25

-dependence coefficients from the copula-based approach are applied. The analysis period covered 2007 until 2019. The period of the COVID-19 …

Persistent link: https://www.econbiz.de/10013200911

Efficient estimation of copula-based semiparametric Markov models

Chen, Xiaohong; Wu, Wei Biao; Yi, Yanping - 2009

This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These … models are characterized by nonparametric invariant distributions and parametric copula functions; where the copulas capture … maximum likelihood estimation (MLE) for the copula parameter, the invariant distribution and the conditional quantiles. We …

Persistent link: https://www.econbiz.de/10010288444

Data Analysis for Risk Management – Economics, Finance and Business

Jajuga, Krzysztof (contributor); … - 2024

This reprint concerns methods of data analysis for risk management in economics, finance, and business. The presented papers contain research on data analysis methods, including classical statistical methods, and machine learning methods that have emerged from statistics and are being...

Persistent link: https://www.econbiz.de/10015324884

Sustainability, Digital Transformation and Fintech: The New Challenges of the Banking Industry

Pérez, Andrea (contributor) - 2021

In the current competitive scenario, the banking industry must contend with multiple challenges tied to regulations, legacy systems, disruptive models/technologies, new competitors, and a restive customer base, while simultaneously pursuing new strategies for sustainable growth. Banking...

Persistent link: https://www.econbiz.de/10014323783

A hierarchical model of tail dependent asset returns for assessing portfolio credit risk

Puzanova, Natalia - 2011

static copula families and come to the conclusion that they are ordered with respect to their parameters and that the lower …-tail dependence of the intra-sector copula is increasing in the absolute values of skewness parameters. Furthermore, I show that the … joint characteristic function of the VCG asset returns can be explicitly given as a nested Archimedean copula of their …

Persistent link: https://www.econbiz.de/10010308734