Narrow search
Showing 1,181 - 1,190 of 735,815
Cover Image
Recent developments in copula models
Fermanian, Jean-David - In: Econometrics : open access journal 5 (2017) 3, pp. 1-3
Persistent link: https://www.econbiz.de/10011710943
Cover Image
Stochastic sensitivity analysis of concentration measures
Boďa, Martin - In: Central European journal of operations research : CEJOR … 25 (2017) 2, pp. 441-471
Persistent link: https://www.econbiz.de/10011711490
Cover Image
On the robustness of portfolio allocation under copula misspecification
Ben Saida, Abdallah; Prigent, Jean-Luc - In: Risk management decisions and wealth management in …, (pp. 631-652). 2018
Persistent link: https://www.econbiz.de/10011871693
Cover Image
Currency portfolio risk measurement with generalized autoregressive conditional heteroscedastic-extreme value theory-Copula Model
Omari, Cyprian Ondieki; Mwita, Peter N.; Gichuhi, Antony W. - In: Journal of mathematical finance 8 (2018) 2, pp. 457-477
Persistent link: https://www.econbiz.de/10011875347
Cover Image
Spatial dependence and aggregation in weather risk hedging : a lévy subordinated hierarchical archimedean copulas (LSHAC) approach
Zhu, Wenjun; Ken Seng Tan; Porth, Lysa; Wang, Chou-Wen - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 779-815
Persistent link: https://www.econbiz.de/10011875814
Cover Image
Copulas in econometrics
Fan, Yanqin; Patton, Andrew J. - In: Annual review of economics 6 (2014), pp. 179-200
Persistent link: https://www.econbiz.de/10011380011
Cover Image
Leverage and volatility feedback effects and conditional dependence index : a nonparametric study
Sun, Yiguo; Wu, Ximing - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-20
volatility index (VIX) via a nonparametric copula method. Specifically, we propose a conditional dependence index to investigate …
Persistent link: https://www.econbiz.de/10011857010
Cover Image
Numerical comparison of multivariate models to forecasting risk measures
Müller, Fernanda Maria; Righi, Marcelo Brutti - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 1, pp. 29-50
Persistent link: https://www.econbiz.de/10011859009
Cover Image
How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas
Mzoughi, Hela; Mansouri, Fayçal - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 1-14
Persistent link: https://www.econbiz.de/10010338365
Cover Image
Solvency II : considering risk dependencies
Nguyen, Tristan; Molinari, Robert Danilo - 2010
Persistent link: https://www.econbiz.de/10003975590