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On the structure of financial contagion : econometric tests and Mercocur evidence
Viale, Ariel M.; Bessler, David A.; Kolari, James W. - In: Journal of applied economics 17 (2014) 2, pp. 373-400
Persistent link: https://www.econbiz.de/10011554835
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Value-at-risk bounds for multivariate heavy tailed distribution : an application to the Glosten-Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity model
Gammoudi, Imed; El Ghourabi, Mohamed; Belkacem, Lotfi - In: The journal of risk model validation 10 (2016) 3, pp. 49-68
Persistent link: https://www.econbiz.de/10011587684
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Downside and upside risk spillovers between exchange rates and stock prices
Reboredo, Juan Carlos; Rivera-Castro, Miguel A.; … - In: Journal of banking & finance 62 (2016), pp. 76-96
Persistent link: https://www.econbiz.de/10011634069
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Tail dependence of the Gaussian copula revisited
Furman, Edward; Kuznetsov, Alexey; Su, Jianxi; Zitikis, … - In: Insurance / Mathematics & economics 69 (2016), pp. 97-103
Persistent link: https://www.econbiz.de/10011530927
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An optimal co-reinsurance strategy
Najafabadi, Amir T. Payandeh; Bazaz, Ali Panahi - In: Insurance / Mathematics & economics 69 (2016), pp. 149-155
Persistent link: https://www.econbiz.de/10011530944
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Optimal product bundling with dependent valuations : the price of independence
Banciu, Mihai; Ødegaard, F. - In: European journal of operational research : EJOR 255 (2016) 2, pp. 481-495
Persistent link: https://www.econbiz.de/10011532138
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Initial margin estimations for credit default swap portfolios
Ivanov, Stanislav - In: The journal of financial market infrastructures 5 (2017) 4, pp. 22-49
Persistent link: https://www.econbiz.de/10011729219
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Measuring insurers' investment risk taking with asymmetric tail dependencies
Lai, Gene C.; Lu, Erin P.; Li, Haijun; Chen, Dennis C. - In: Risk management : a journal of risk, crisis and disaster 19 (2017) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10011729302
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Modeling US stock market volatility-return dependence using conditional copula and quantile regression
Agbeyegbe, Terence D. - In: The economics of the global environment : catastrophic …, (pp. 597-621). 2016
Persistent link: https://www.econbiz.de/10011730810
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Stochastic distortion and its transformed copula
Lin, Feng; Peng, Liang; Xie, Jiehua; Yang, Jingping - In: Insurance / Mathematics & economics 79 (2018), pp. 148-166
Persistent link: https://www.econbiz.de/10011825432