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The risk of clustering of deprivations in Spain : a tale of two crises
García-Gómez, César; Pérez, Ana - In: Applied economic analysis : AEA 33 (2025) 97, pp. 53-75
Persistent link: https://www.econbiz.de/10015411670
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Multivariate patchwork copulas : a unified approach with applications to partial comonotonicity
Durante, Fabrizio; Sánchez, Juan Fernández; Sempi, Carlo - In: Insurance 53 (2013) 3, pp. 897-905
Persistent link: https://www.econbiz.de/10010227787
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Modeling the co-movements between crude oil and refined petroleum markets
Tong, Bin; Wu, Chongfeng; Zhou, Chunyang - In: Energy economics 40 (2013), pp. 882-898
Persistent link: https://www.econbiz.de/10010356014
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Conditional systemic risk with penalized copula
Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015
, conditional quantiles are specified via hierarchical Archimedean copula. The parameters and structure of this copula are …
Persistent link: https://www.econbiz.de/10011309638
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Risk aggregation with copula for banking industry
Yoshiba, Toshinao - 2015
Persistent link: https://www.econbiz.de/10011375924
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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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Construction of asymmetric copulas and its application in two-dimensional reliability modelling
Wu, Shaomin - In: European journal of operational research : EJOR 238 (2014) 2, pp. 476-485
Persistent link: https://www.econbiz.de/10010400207
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Tail behaviour and tail dependence of generalized hyperbolic distributions
Hammerstein, Ernst August v. - In: Advanced modelling in mathematical finance : in honour …, (pp. 3-40). 2016
Persistent link: https://www.econbiz.de/10011800330
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Facts or fates of investors' losses during crises? : evidence from REIT-stock volatility and tail dependence structures
Huang, MeiChi; Wu, Chih-Chiang; Liu, Shih-Min; Wu, Chang-Che - In: International review of economics & finance : IREF 42 (2016), pp. 54-71
Persistent link: https://www.econbiz.de/10011625055
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Can asymmetric conditional volatility imply asymmetric tail dependence?
Kim, Jong-Min; Jung, Hojin - In: Economic modelling 64 (2017), pp. 409-418
Persistent link: https://www.econbiz.de/10011761287