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Modeling dependence in high di...
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1
Bivariate copula trees for gross loss aggregation with positively dependent risks
Wójcik, Rafał
;
Liu, Charlie Wusuo
- In:
Risks : open access journal
10
(
2022
)
8
,
pp. 1-24
is a measure of positive
dependence
through variance of the aggregate risk. During gross loss accumulation, the marginals …
Persistent link: https://www.econbiz.de/10013368496
Saved in:
2
Measuring and testing tail
dependence
and contagion risk between Major stock markets
Su, Ender
- In:
Computational economics
50
(
2017
)
2
,
pp. 325-351
Persistent link: https://www.econbiz.de/10011762384
Saved in:
3
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
Saved in:
4
ESG, risk, and (tail)
dependence
Bax, Karoline
;
Sahin, Özge
;
Czado, Claudia
;
Paterlini, …
- In:
International review of financial analysis
87
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014456333
Saved in:
5
Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial
dependence
Mo, Guoli
;
Zhang, Weiguo
;
Tan, Chunzhi
;
Liu, Xing
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-23
Persistent link: https://www.econbiz.de/10013413442
Saved in:
6
Measuring systemic risk with a dynamic copula-based approach
Jang, Hyun Jin
;
Pan, Xiao
;
Park, Sumin
- In:
Applied economics
53
(
2021
)
50
,
pp. 5843-5863
Persistent link: https://www.econbiz.de/10012627102
Saved in:
7
Risk aggregation with copula for banking industry
Yoshiba, Toshinao
-
2015
Persistent link: https://www.econbiz.de/10011375924
Saved in:
8
Real-time macroeconomic forecasting with a heteroscedastic inversion copula
Loiza-Maya, Ruben
;
Smith, Michael S.
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 470-486
Persistent link: https://www.econbiz.de/10012262488
Saved in:
9
Some systemic risk indicators
El Qalli, Yassine
;
Said, Khalil
- In:
Risk and decision analysis
9
(
2023
)
2/4
,
pp. 39-56
Persistent link: https://www.econbiz.de/10014473406
Saved in:
10
Tail
dependence
and heavy tailedness in extreme risks
Ji, Liuyan
;
Ken Seng Tan
;
Yang, Fan
- In:
Insurance / Mathematics & economics
99
(
2021
),
pp. 282-293
Persistent link: https://www.econbiz.de/10012649222
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