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An Order of Asymmetry in Copulas, and Implications for Risk Management
Siburg, Karl - 2016
We study symmetry properties of bivariate copulas. For this, we introduce an order of asymmetry, as well as measures of asymmetry which are monotone in that order. In an empirical study, we illustrate that asymmetric dependence structures do indeed occur in financial market data and discuss its...
Persistent link: https://www.econbiz.de/10012996898
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Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
Siburg, Karl Friedrich; Stoimenov, Pavel; Weiß, Gregor - In: Journal of banking & finance 54 (2015), pp. 129-140
Persistent link: https://www.econbiz.de/10011377805
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An order of asymmetry in copulas, and implications for risk management
Siburg, Karl Friedrich; Stehling, Katharina; Stoimenov, … - In: Insurance / Mathematics & economics 68 (2016), pp. 241-247
Persistent link: https://www.econbiz.de/10011493850
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An order for asymmetry in copulas, and implications for risk management
Siburg, Karl Friedrich; Stehling, Katharina; Stoimenov, … - 2013
Persistent link: https://www.econbiz.de/10010222900
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A measure of mutual complete dependence
Siburg, Karl Friedrich (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003483690
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Glättungssplines und Additive Modelle : eine Einführung in die bi- und multivariate nichtparametrische Regression
Weiß, Gregor; Uhe, Esther - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 36 (2007) 11, pp. 578-580
Persistent link: https://www.econbiz.de/10003573073
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Glättungssplines und Additive Modelle
Weiß, Gregor; Uhe, Esther - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 36 (2007) 11, pp. 592-593
Persistent link: https://www.econbiz.de/10003573081