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Estimating value-at-risk using a multivariate copula-based volatility model : evidence from European banks

Sampid, Marius Galabe; Hasim, Haslifah Mohamad - In: International economics : a journal published by CEPII … 156 (2018), pp. 175-192

Persistent link: https://www.econbiz.de/10012027269

Validation of positive quadrant dependence

Ledwina, Teresa; Wyłupek, Grzegorz - In: Insurance / Mathematics & economics 56 (2014), pp. 38-47

Persistent link: https://www.econbiz.de/10010385038

Non-parametric estimation of copula parameters : testing for time-varying correlation

Gong, Jinguo; Wu, Weiou; McMillan, David G.; Shi, Daimin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 93-106

Persistent link: https://www.econbiz.de/10011311193

Estimation and forecasting of dynamic conditional covariance : a semiparametric multivariate model

Long, Xiangdong; Su, Liangjun; Ullah, Aman - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 1, pp. 109-125

Persistent link: https://www.econbiz.de/10009159106

Constructing discrete unbounded distributions with Gaussian-copula dependence and given rank correlation

Avramidis, Athanassios N. - In: INFORMS journal on computing : JOC 26 (2014) 2, pp. 269-279

Persistent link: https://www.econbiz.de/10010362443

Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes

Bodnar, Taras - 2012

We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations. Modeling the variables' conditional mean processes using a multiplicative error model we map the resulting...

Persistent link: https://www.econbiz.de/10013100899