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Multivariate Reduced Rank Regression in Non-Gaussian Contexts, Using Copulas

Heinen, Andréas - 2007

and the binomial. A mul-tivariate distribution is created with the help of the Gaussian copula and estimation is performed …

Persistent link: https://www.econbiz.de/10012730382

Econometrics and Risk Management.

Fomby, Thomas B. - 2008

correlations, and results on copula, reduced form and structural models, and the top-down approach. … -- Chapter 1. Fast Solution of the Gaussian Copula Model -- 1. Introduction -- 2. The Synthetic CDO Structure -- 3. Valuation … Remarks -- References -- Chapter 4. Credit Risk Dependence Modeling with Dynamic Copula: An Application to CDO Tranches -- 1 …

Persistent link: https://www.econbiz.de/10012685028

Dynamic copula-based expectile portfolios

Sahamkhadam, Maziar - In: The journal of asset management : a major new, … 22 (2021) 3, pp. 209-223

Persistent link: https://www.econbiz.de/10012581596

Copula-based stochastic cost frontier with correlated technical and allocative inefficiency

Das, Arabinda - In: Journal of quantitative economics 19 (2021) 2, pp. 207-222

Persistent link: https://www.econbiz.de/10012584924

Multivariate crash risk

Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2021 - This version: May 21, 2021

This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH and we empirically confirm...

Persistent link: https://www.econbiz.de/10012585546