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Copula function approaches for the analysis of serial and cross dependence in stock returns
Rivieccio, Giorgia; De Luca, Giovanni - In: Finance research letters 17 (2016), pp. 55-61
Persistent link: https://www.econbiz.de/10011596218
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Assessing tail risk for nonlinear dependence of MSCI sector indices : a copula three-stage approach
De Luca, Giovanni; Guégan, Dominique; Rivieccio, Giorgia - In: Finance research letters 30 (2019), pp. 327-333
Persistent link: https://www.econbiz.de/10012420870
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Value-at-Risk dynamics : a copula-VAR approach
De Luca, Giovanni; Rivieccio, Giorgia; Corsaro, Stefania - In: The European journal of finance 26 (2020) 2/3, pp. 223-237
Persistent link: https://www.econbiz.de/10012207202
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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