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Analysis of the depedence of stock risk based on copula theory
Li, Qi; Deng, Guangming; Tan, Xin - In: Inventi impact: emerging economies (2020) 2, pp. 99-106
Persistent link: https://www.econbiz.de/10012648489
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Right-truncated Archimedean and related copulas
Hofert, Marius - In: Insurance / Mathematics & economics 99 (2021), pp. 79-91
Persistent link: https://www.econbiz.de/10012649209
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Credit Correlation : Life after Copulas
Lipton, Alexander - 2007
Key Features:Contributors are practitioners and academics from leading institutions such as Citigroup, Lehmen Brothers, JP Morgan, University of Cambridge, Imperial College London and Stanford University.
Persistent link: https://www.econbiz.de/10012690954
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Financial contagion and contagion channels in the forex market : A new approach via the dynamic mixture copula-extreme value theory
Wang, Haiying; Yuan, Ying; Li, Yiou; Wang, Xunhong - In: Economic modelling 94 (2021), pp. 401-414
Persistent link: https://www.econbiz.de/10012695085
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Investigating dynamic price co-movements in the international milk market using copulas : the role of trade agreements
Rezitis, Anthony N.; Rokopanos, Andreas; Tsionas, … - In: Economic modelling 95 (2021), pp. 215-227
Persistent link: https://www.econbiz.de/10012695986
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Forecasting robust value-at-risk estimates : evidence from UK banks
Sampid, Marius Galabe; Hasim, Haslifah Mohamad - In: Quantitative finance 21 (2021) 11, pp. 1955-1975
Persistent link: https://www.econbiz.de/10012696799
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A new dynamic mixture copula mechanism to examine the nonlinear and asymmetric tail dependence between stock and exchange rate returns
Chang, Kuang-Liang - In: Computational economics 58 (2021) 4, pp. 965-999
Persistent link: https://www.econbiz.de/10012697775
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Modelling dependence and systemic risk between oil prices and BSE sectoral indices using stochastic copula and CoVar, ΔCoVar and MES approaches
Tiwari, Aviral Kumar; Pathak, Rajesh; DasGupta, Ranjan; … - In: Applied economics 53 (2021) 58, pp. 6770-6788
Persistent link: https://www.econbiz.de/10012697968
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Portfolio optimization under mean-CVaR simulation with copulas on the Vietnamese stock exchange
Le Tuan Anh; Dao Thi Thanh Binh - In: Investment management and financial innovations 18 (2021) 2, pp. 273-286
Persistent link: https://www.econbiz.de/10012698623
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A multi-year microlevel collective risk model
Oh, Rosy; Jeong, Himchan; Ahn, Jae Youn; Valdez, Emiliano - In: Insurance / Mathematics & economics 100 (2021), pp. 309-328
Persistent link: https://www.econbiz.de/10012622396