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Forecasting market risk of portfolios: copula-Markov switching multifractal approach

Segnon, Mawuli; Trede, Mark - In: The European journal of finance 24 (2018) 14, pp. 1123-1143

Persistent link: https://www.econbiz.de/10012258877

Portfolio optimization in the presence of dependent financial returns with long memory : a copula based approach

Boubaker, Heni; Sghaier, Nadia - In: Journal of banking & finance 37 (2013) 2, pp. 361-377

Persistent link: https://www.econbiz.de/10009705653

Linear time-varying regression with copula-DCC-asymmetric-GARCH models for volatility : the co-movement between industrial electricity demand and financial factors

Kim, Yunsun; Hwang, Sun Young; Kim, Jong-Min; Kim, Sahm - In: Applied economics 55 (2023) 3, pp. 255-272

Persistent link: https://www.econbiz.de/10013494421

Copula structured M4 processes with application to high-frequency financial data

Zhang, Zhengjun; Zhu, Bin - In: Journal of econometrics 194 (2016) 2, pp. 231-241

Persistent link: https://www.econbiz.de/10011705118

Constructing copulas using corrected hermite polynomial expansion for estimating cross foreign exchange volatility

Shiraya, Kenichiro; Yamakami, Tomohisa - 2023

Persistent link: https://www.econbiz.de/10014266209

Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility

Shiraya, Kenichiro; Yamakami, Tomohisa - In: European journal of operational research : EJOR 314 (2024) 3, pp. 1195-1214

Persistent link: https://www.econbiz.de/10014456946

Saddlepoint approximations for credit portfolio distributions with applications in equity risk management

Herbertsson, Alexander - 2023

Persistent link: https://www.econbiz.de/10014518798

A flexible state-space model with application to stochastic volatility

Gouriéroux, Christian; Lu, Yang - 2016

Persistent link: https://www.econbiz.de/10012196330

Estimating the volatility of non-life premium risk under Solvency II : discussion of Danish fire insurance data

Cerchiara, Rocco Roberto; Acri, Francesco - In: Risks : open access journal 8 (2020) 3/74, pp. 1-19

We studied the volatility assumption of non-life premium risk under the Solvency II Standard Formula and developed an empirical model on real data, the Danish fire insurance data. Our empirical model accomplishes two things. Primarily, compared to the present literature, this paper innovates the...

Persistent link: https://www.econbiz.de/10012293140

Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series

Kim, Jong-Min; Hwang, Sun Young - In: Applied economics 53 (2021) 4, pp. 506-520

Persistent link: https://www.econbiz.de/10012416072