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Multiple risk factor dependence structures : distributional properties
Su, Jianxi; Furman, Edward - In: Insurance / Mathematics & economics 76 (2017), pp. 56-68
Persistent link: https://www.econbiz.de/10011774770
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Relation between higher order comoments and dependence structure of equity portfolio
Cerrato, Mario; Crosby, John; Kim, Minjoo; Zhao, Yang - In: Journal of empirical finance 40 (2017), pp. 101-120
Persistent link: https://www.econbiz.de/10011744455
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Joint price and volumetric risk in wind power trading : a copula approach
Pircalabu, A.; Hvolby, T.; Jung, J.; Høg, E. - In: Energy economics 62 (2017), pp. 139-154
Persistent link: https://www.econbiz.de/10011748068
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Multiple risk factor dependence structures : copulas and related properties
Su, Jianxi; Furman, Edward - In: Insurance / Mathematics & economics 74 (2017), pp. 109-121
Persistent link: https://www.econbiz.de/10011712411
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Locally optimal tests of independence for Archimedean copula families
Rahnenführer, Jörg - In: Statistical inference, econometric analysis and matrix …, (pp. 103-112). 2009
Persistent link: https://www.econbiz.de/10003780940
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Analysis of survivorship life insurance portfolios with stochastic rates of return
Chen, Li; Lin, Luyao; Lu, Yi; Parker, Gary - In: Insurance / Mathematics & economics 75 (2017), pp. 16-31
Persistent link: https://www.econbiz.de/10011740696
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Modeling and forecasting multivariate electricity price spikes
Manner, Hans; Türk, Dennis; Eichler, Michael - In: Energy economics 60 (2016), pp. 255-265
Persistent link: https://www.econbiz.de/10011699897
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Risk aggregation in Solvency II through recursive log-normals
Bølviken, Erik; Guillén, Montserrat - In: Insurance / Mathematics & economics 73 (2017), pp. 20-26
Persistent link: https://www.econbiz.de/10011702034
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On a bivariate copula with both upper and lower full-range tail dependence
Hua, Lei - In: Insurance / Mathematics & economics 73 (2017), pp. 94-104
Persistent link: https://www.econbiz.de/10011702049
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Modeling dependence in high dimensions with factor copulas
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 139-154
Persistent link: https://www.econbiz.de/10011704143