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Application of vine copulas to credit portfolio risk modeling

Geidosch, Marco; Fischer, Matthias - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-15

conventional Gauss copula is deficient in modeling the dependence structure of a credit portfolio and economic capital is seriously … capital compared to R-vines; (iii) when mixing different copula families in an R-vine structure, the best statistical fit to …

Persistent link: https://www.econbiz.de/10011544001

Hidden Markov structures for dynamic copulae

Härdle, Wolfgang; Okhrin, Ostap; Wang, Weining - In: Econometric theory 31 (2015) 5, pp. 981-1015

Persistent link: https://www.econbiz.de/10011545496

Modeling time-varying skewness via decomposition for out-of-sample forecast

Liu, Xiaochun - In: International journal of forecasting 31 (2015) 2, pp. 296-311

Persistent link: https://www.econbiz.de/10011474059

Copula modelling of dependence in multivariate time series

Smith, Michael S. - In: International journal of forecasting 31 (2015) 3, pp. 815-833

Persistent link: https://www.econbiz.de/10011474586

Pair copula constructions to determine the dependence structure of Treasury bond yields

Righi, Marcelo Brutti; Schlender, Sergio Guilherme; … - In: IIMB management review 27 (2015) 4, pp. 216-227

Persistent link: https://www.econbiz.de/10011481216

Modeling spot price dependence in Australian electricity markets with applications to risk management

Ignatieva, Ekaterina; Trück, Stefan - In: Computers & operations research : and their … 66 (2016), pp. 415-433

Persistent link: https://www.econbiz.de/10011429137

Modeling and estimating multivariate dependence structures with the Bernstein copula

Rose, Doro - 2015

Persistent link: https://www.econbiz.de/10011432167

The contagion channels of July-August-2011 stock market crash : a DAG-copula based approach

Jayech, Selma - In: European journal of operational research : EJOR 249 (2016) 2, pp. 631-646

Persistent link: https://www.econbiz.de/10011436789

High dimensional dynamic stochastic copula models

Creal, Drew; Tsay, Ruey S. - In: Journal of econometrics 189 (2015) 2, pp. 335-345

Persistent link: https://www.econbiz.de/10011504544

Recovering the most entropic copulas from preliminary knowledge of dependence

Chu, Ba; Satchell, Stephen - In: Econometrics : open access journal 4 (2016) 2, pp. 1-21

information by constructing the most entropic copula (MEC) and its canonical form, namely the most entropic canonical copula (MECC …). The MECC can effectively be obtained by maximizing Shannon entropy to yield a proper copula such that known dependence … estimator can potentially outperform many other copula estimators in finite samples. …

Persistent link: https://www.econbiz.de/10011505976