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Model and moment selection in factor copula models
Duan, Fang; Manner, Hans; Wied, Dominik - In: Journal of financial econometrics 20 (2022) 1, pp. 45-75
Persistent link: https://www.econbiz.de/10012878186
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Modeling multivariate extreme events using self-exciting point processes
Grothe, Oliver; Korniichuk, Volodymyr; Manner, Hans - In: Journal of econometrics 182 (2014) 2, pp. 269-289
Persistent link: https://www.econbiz.de/10010497083
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Stock market returns and oil price shocks : a CoVaR analysis based on dynamic vine copula models
Kielmann, Julia; Manner, Hans; Min, Aleksey - 2021
Persistent link: https://www.econbiz.de/10012503368
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A monitoring procedure for detecting structural breaks in factor copula models
Manner, Hans; Stark, Florian; Wied, Dominik - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 4, pp. 171-192
Persistent link: https://www.econbiz.de/10012657681
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Stock market returns and oil price shocks : a CoVaR analysis based on dynamic vine copula models
Kielmann, Julia; Manner, Hans; Min, Aleksey - In: Empirical economics : a quarterly journal of the … 62 (2022) 4, pp. 1543-1574
Persistent link: https://www.econbiz.de/10013197238