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Out-of-sample comparison of copula specifications in multivariate density forecasts

Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in … copula is favored over Gaussian, Gumbel and Clayton copulas. This suggests that these exchange rate returns are characterized …

Persistent link: https://www.econbiz.de/10011377261

Mixture pair-copula-constructions

Weiß, Gregor; Scheffer, Marcus - In: Journal of banking & finance 54 (2015), pp. 175-191

Persistent link: https://www.econbiz.de/10011377813

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

Construction and backtesting of a multi-factor stress-scenario for the stock market

Boldyrev, Kirill; Andrianov, Dmitry; Ivliev, Sergey - In: Financial econometrics and empirical market microstructure, (pp. 37-45). 2015

Persistent link: https://www.econbiz.de/10011326724

Stochastic simulation framework for the limit order book using liquidity-motivated agents

Panayi, Efstathios; Peters, Gareth W. - In: International journal of financial engineering 2 (2015) 2, pp. 1-52

Persistent link: https://www.econbiz.de/10011333470

A macroeconomic reverse stress test

Grundke, Peter; Pliszka, Kamil - 2015

Reverse stress tests are a relatively new stress test instrument that aims at finding exactly those scenarios that cause a bank to cross the frontier between survival and default. Afterward, the scenario which is most probable has to be identified. This paper sketches a framework for a...

Persistent link: https://www.econbiz.de/10011334117

Assessing high-risk scenarios by full-range tail dependence copulas

Hua, Lei; Xia, Michelle - In: North American actuarial journal 18 (2014) 3, pp. 363-378

Persistent link: https://www.econbiz.de/10011338997

Forecasting surrender rates using elliptical copulas and financial variables

Neves, César; Fernandes, Cristiano Augusto Coelho; … - In: North American actuarial journal 18 (2014) 2, pp. 343-362

Persistent link: https://www.econbiz.de/10011338999

Equivalence and bifurcations of finite order stochastic processes

Diks, Cees G. H.; Wagener, Florian Oskar Ottokar - 2005

corresponding bifurcation theory is illustrated with some simple examples. …

Persistent link: https://www.econbiz.de/10011343270

Multivariate dynamic Copula models : parameter estimation and forecast evaluation

Aepli, Matthias Daniel; Frauendorfer, Karl; Füss, Roland; … - 2015 - This version: June 2015

copula models. The importance of accounting for time-variation is emphasized in the context of the Basel traffic light system … terms of in-sample and out-of sample valuation is the dynamic Student-t-Clayton mixture copula, followed by the dynamic … Student-t copula, and the dynamic Gaussian-Clayton mixture. In comparison to the multivariate normal model, the dynamic …

Persistent link: https://www.econbiz.de/10011344180