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Economic evaluation of asymmetric and price range information in gold and general financial markets
Wu, Chih-Chiang; Chiu, Junmao - In: Journal of international money and finance 74 (2017), pp. 53-68
Persistent link: https://www.econbiz.de/10011787915
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Inventory pooling with environmental constraints using copulas
Silbermayr, Lena; Jammernegg, Werner; Kischka, Peter - In: European journal of operational research : EJOR 263 (2017) 2, pp. 479-492
Persistent link: https://www.econbiz.de/10011793957
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Copulae in high dimensions: an introduction
Okhrin, Ostap; Ristig, Alexander; Xu, Ya-Fei - In: Applied quantitative finance, (pp. 247-277). 2017
Persistent link: https://www.econbiz.de/10011794966
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Copula-based factor model for credit risk analysis
Lu, Meng-Jou; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang - In: Review of quantitative finance and accounting 49 (2017) 4, pp. 949-971
Persistent link: https://www.econbiz.de/10011797579
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Tail dependence in small samples : from theory to practice
Lavaud, Sophie - In: The journal of operational risk 13 (2018) 1, pp. 15-49
Persistent link: https://www.econbiz.de/10011848897
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International and temporal diversifications : the best of both worlds?
Fouquau, Julien; Kharoubi, Cécile; Spieser, Philippe - In: Journal of risk 20 (2017/2018) 4, pp. 27-54
Persistent link: https://www.econbiz.de/10011848923
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Single-index copulae
Fermanian, Jean-David; Lopez, Olivier - 2015
Persistent link: https://www.econbiz.de/10011854699
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Bivariate Kumaraswamy models via modified FGM copulas : properties and applications
Ghosh, Indranil - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-13
A copula is a useful tool for constructing bivariate and/or multivariate distributions. In this article, we consider a … new modified class of FGM (Farlie–Gumbel–Morgenstern) bivariate copula for constructing several different bivariate …
Persistent link: https://www.econbiz.de/10011854865
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Comparing the riskiness of dependent portfolios via nested L-statistics
Samanthi, Ranadeera G.M.; Wei, Wei; Brazauskas, Vytaras - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 2, pp. 213-236
Persistent link: https://www.econbiz.de/10011820567
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Relative ageing of series and parallel systems : effects of dependence and heterogeneity among components
Ding, Weiyong; Zhang, Yiying - In: Operations research letters 46 (2018) 2, pp. 219-224
Persistent link: https://www.econbiz.de/10011824889