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The oil price-macroeconomy dependence

Serletis, Apostolos; Xu, Libo - In: Empirical economics : a quarterly journal of the … 65 (2023) 6, pp. 2501-2520

Persistent link: https://www.econbiz.de/10014388954

Rank-based multivariate Sarmanov for modeling dependence between loss reserves

Abdallah, Anas; Wang, Lan - In: Risks : open access journal 11 (2023) 11, pp. 1-37

the dependence between lines of business. An inadequate choice of the dependence structure may negatively impact the … robust estimation, and better captures the dependence between the risks. We also show that it generates smaller risk capital …

Persistent link: https://www.econbiz.de/10014435614

Copula modelling to analyse financial data

Dewick, Paul R.; Liu, Shuangzhe - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-11

Copula modelling is a popular tool in analysing the dependencies between variables. Copula modelling allows the investigation of tail dependencies, which is of particular interest in risk and survival applications. Copula modelling is also of specific interest to economic and financial modelling...

Persistent link: https://www.econbiz.de/10013161689

Analyzing the dependence structure of various sectors in the Brazilian market : a Pair Copula Construction approach

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Economic modelling 35 (2013), pp. 199-206

Persistent link: https://www.econbiz.de/10010259465

Dependence between Croatian and European stock markets : a copula GARCH approach

Dajčman, Silvo - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 31 (2013) 2, pp. 209-232

Persistent link: https://www.econbiz.de/10010240939

Tail dependence between Central and Eastern European and major European stock markets : a copula approach

Dajcman, Silvo - In: Applied economics letters 20 (2013) 16/18, pp. 1567-1573

Persistent link: https://www.econbiz.de/10010221720

Effectiveness of copula-extreme value theory in estimating value-at-risk : empirical evidence from Asian emerging markets

Hsu, Chun-pin; Huang, Chin-wen; Chiou, Wan-jiun Paul - In: Review of quantitative finance and accounting 39 (2012) 4, pp. 447-468

Persistent link: https://www.econbiz.de/10009690403

Modelling tail dependence between energy market and stock markets in the BRIC countries

Pan, Zhiyuan - In: Applied economics letters 21 (2014) 10/12, pp. 789-794

Persistent link: https://www.econbiz.de/10010416269

On the distribution of sums of random variables with copula-induced dependence

Gijbels, Irène; Herrmann, Klaus - In: Insurance / Mathematics & economics 59 (2014), pp. 27-44

Persistent link: https://www.econbiz.de/10010469189

Archimedean copulas derived from utility functions

Spreeuw, Jaap - In: Insurance / Mathematics & economics 59 (2014), pp. 235-242

Persistent link: https://www.econbiz.de/10010470021

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