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Probabilistic causality and decisions on bailouts of financial institutions

Moreira, Fernando - In: Journal of risk management in financial institutions 10 (2016/2017) 2, pp. 201-212

Persistent link: https://www.econbiz.de/10011670676

Financial institutions' funding cost : do capital and risk-taking matter?

Moreira, Fernando - In: Journal of risk management in financial institutions 14 (2020/2021) 1, pp. 96-106

Persistent link: https://www.econbiz.de/10012504496

Checking for asymmetric default dependence in a credit card portfolio : a copula approach

Crook, Jonathan N.; Moreira, Fernando - In: Journal of empirical finance 18 (2011) 4, pp. 728-742

Persistent link: https://www.econbiz.de/10009306529

Data frequency and dependence structure in stock markets

Moreira, Fernando - In: The IUP journal of financial risk management : IJFRM 9 (2012) 3, pp. 45-53

Persistent link: https://www.econbiz.de/10009670444

Copula-based formulas to estimate unexpected credit losses (the future of Basel accords?)

Moreira, Fernando - In: Financial markets, institutions & instruments 19 (2010) 5, pp. 381-404

Persistent link: https://www.econbiz.de/10008901698

Estimating portfolio credit losses in downturns

Moreira, Fernando - In: Financial markets, institutions & instruments 24 (2015) 5, pp. 391-414

Persistent link: https://www.econbiz.de/10011412170

The zero-inflated promotion cure rate model applied to financial data on time-to-default

Oliveira, Mauro Ribeiro de <Jr.>; Moreira, Fernando; … - In: Cogent economics & finance 5 (2017) 1, pp. 1-14

In this paper, we extend the promotion cure rate model studied in Yakovlev and Tsodikov (1996) and Chen et al. (1999) by incorporating an excess of zeros in the modeling. Despite relating covariates to the cure fraction, the current approach does not enable us to relate covariates to the...

Persistent link: https://www.econbiz.de/10011886977

Nonstationary Z-Score measures

Mare, Davide Salvatore; Moreira, Fernando; Rossi, Roberto - In: European journal of operational research : EJOR 260 (2017) 1, pp. 348-358

Persistent link: https://www.econbiz.de/10011698038

Measuring systemic risk : a comparison of alternative market-based approaches

Kleinow, Jacob; Moreira, Fernando; Strobl, Sascha; … - In: Finance research letters 21 (2017), pp. 40-46

Persistent link: https://www.econbiz.de/10011807485

Data Frequency and Dependence Structure in Stock Markets

Moreira, Fernando - 2012

It has been shown that the univariate distributions and other properties of asset returns are sensitive to the data frequency, but the effects of the data frequency on the dependence among returns have hardly been explored. The paper seeks to fill this gap by analyzing the impact of frequency...

Persistent link: https://www.econbiz.de/10013097447