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Measuring systemic risk using vine-copula
Pourkhanali, Armin; Kim, Jong-Min; Tafakori, Laleh; … - In: Economic modelling 53 (2016), pp. 63-74
Persistent link: https://www.econbiz.de/10011640962
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Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae
Manner, Hans; Fard, Farzad Alavi; Pourkhanali, Armin; … - In: Energy economics 78 (2019), pp. 143-164
Persistent link: https://www.econbiz.de/10012159908
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Modelling credit default swap spreads by means of normal mixtures and copulas
Bee, Marco - In: Applied mathematical finance 11 (2004) 2, pp. 125-146
Persistent link: https://www.econbiz.de/10002085490
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Adaptive importance sampling for simulating copula-based distributions
Bee, Marco - In: Insurance / Mathematics & economics 48 (2011) 2, pp. 237-245
Persistent link: https://www.econbiz.de/10008989334
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Modeling multivariate operational losses via copula-based distributions with g-and-h marginals
Bee, Marco; Hambuckers, Julien - 2020
Persistent link: https://www.econbiz.de/10012417238
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Modeling multivariate operational losses via copula-based distributions with g-and-h marginals
Bee, Marco; Hambuckers, Julien - In: The journal of operational risk 17 (2022) 1, pp. 81-111
Persistent link: https://www.econbiz.de/10014546257