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Dependence structure between sukuk (Islamic bonds) and stock market conditions : an empirical analysis with Archimedean copulas

Naifar, Nader; Hammoudeh, Shawkat; Al dohaiman, Mohamed S. - In: Journal of international financial markets, … 44 (2016), pp. 148-165

Persistent link: https://www.econbiz.de/10011690405

Asymmetric forecast densities for U.S. macroeconomic variables from a Gaussian copula model of cross-sectional and serial dependence

Smith, Michael S.; Vahey, Shaun P. - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 416-434

Persistent link: https://www.econbiz.de/10011691656

Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios

Al Janabi, Mazin A. M.; Hernandez, Jose Arreola; … - In: European journal of operational research : EJOR 259 (2017) 3, pp. 1121-1131

Persistent link: https://www.econbiz.de/10011695589

Pairs trading with copulas

Xie, Wenjun; Rong Qi Liew; Wu, Yuan; Zou, Xi - In: The journal of trading 11 (2016) 3, pp. 41-52

Persistent link: https://www.econbiz.de/10011697601

A quantile regression approach and nonlinear analysis with Archimedean copulas to explain the movements of residential real estate prices

Almeshal, Khalid; Naifar, Nader - In: Afro-Asian Journal of Finance and Accounting : AAJFA 6 (2016) 4, pp. 374-395

Persistent link: https://www.econbiz.de/10011719674

From moments, co-moments and mean-variance weights to copula portfolio allocation

Riccetti, Luca - 2010

Persistent link: https://www.econbiz.de/10011720044

An empirical study on the correlation structure of credit spreads based on the dynamic and pair copula functions

Changqing, Luo; Li, Mengzhen; Ouyang, Zisheng - In: China finance review international 6 (2016) 3, pp. 284-303

Persistent link: https://www.econbiz.de/10011722883

M-PRESS-CreditRisk : a holistic micro- and macroprudential approach to capital requirements

Tente, Natalia; Westernhagen, Natalja von; Slopek, Ulf … - 2017

M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework....

Persistent link: https://www.econbiz.de/10011663208

Goodness-of-fit tests for multivariate copula-based time series models

Berghaus, Betina; Bücher, Axel - In: Econometric theory 33 (2017) 2, pp. 292-330

Persistent link: https://www.econbiz.de/10011665334

Analysis of tourism demand serial dependence structure for forecasting

Zhu, Liang; Lim, Christine; Xie, Wenjun; Wu, Yuan - In: Tourism economics : the business and finance of tourism … 23 (2017) 7, pp. 1419-1436

Persistent link: https://www.econbiz.de/10011772653