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Time varying adaptive copulae and dynamic semiparametric factor models with applications in finance

Giacomini, Enzo - 2009

Persistent link: https://www.econbiz.de/10003931427

Multivariate Modellierung der Renditen von Asset-Klassen auf Basis von Copulas mit Anwendungen im Risikomanagement

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Multivariate skewed student’s t copula in the analysis of nonlinear and asymmetric dependence in the German equity market

Sun, Wei; Račev, Svetlozar T.; Stojanov, Stojan Dimitrov; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 12 (2008) 2, pp. 1-35

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A simulation comparison of aggregation periods for estimating correlations within operational loss data

Panman, K.; Haasbroek, L. J.; Pieters, W. D. - In: The journal of operational risk 11 (2016) 2, pp. 69-86

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On the systemic nature of weather risk

Xu, Wei; Filler, Guenther; Odening, Martin; Okhrin, Ostap - In: Agricultural finance review 70 (2010) 2, pp. 267-284

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On the systemic nature of weather risk

Filler, Guenther; Odening, Martin; Okhrin, Ostap - 2009

indicate that indemnity payments based on temperature as well as on cumulative rainfall show strong stochastic dependence even … the dependence structure of multivariate random variables. The usual approach of measuring stochastic dependence with … linear correlation coefficients turned out to be questionable in the context of weather insurance as it may overestimate …

Persistent link: https://www.econbiz.de/10003796148