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Modeling dependence structure and forecasting portfolio value-at-risk with dynamic copulas
Cerrato, Mario; Crosby, John; Kim, Minjoo; Zhao, Yang - 2014
Persistent link: https://www.econbiz.de/10010430003
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Correlated defaults of UK banks : dynamics and asymmetries
Cerrato, Mario; Crosby, John; Kim, Minjoo; Zhao, Yang - 2015
Persistent link: https://www.econbiz.de/10011413074
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Modeling dependence structure and forecasting market risk with dynamic asymmetric copula
Cerrato, Mario; Crosby, John; Kim, Minjoo; Zhao, Yang - 2015
Persistent link: https://www.econbiz.de/10011325736
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Relation between higher order comoments and dependence structure of equity portfolio
Cerrato, Mario; Crosby, John; Kim, Minjoo; Zhao, Yang - In: Journal of empirical finance 40 (2017), pp. 101-120
Persistent link: https://www.econbiz.de/10011744455
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Do investors gain by selling the tails of return distributions?
Bakshi, Gurdip S.; Crosby, John; Gao, Xiaohui - 2025
Persistent link: https://www.econbiz.de/10015359110