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Measuring systemic risk with a dynamic copula-based approach
Jang, Hyun Jin; Pan, Xiao; Park, Sumin - In: Applied economics 53 (2021) 50, pp. 5843-5863
Persistent link: https://www.econbiz.de/10012627102
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New ways of modeling loan-to-income distributions and their evolution in time : a probability copula approach
Gerth, Florian; Temnov, Grigory - In: International review of economics & finance : IREF 71 (2021), pp. 217-236
Persistent link: https://www.econbiz.de/10012627775
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Exchange rates and the global transmission of equity market shocks
Ojea-Ferreiro, Javier; Reboredo, Juan Carlos - 2021
equity markets. Using copula functions we model the joint dependence between exchange rates and two global equity markets and …, from a copula framework, we obtain the conditional expectation and measure the exchange rate contribution to shock …
Persistent link: https://www.econbiz.de/10012549999
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Single-commodity versus joint hedging in cattle feeding cycle : Is Joint hedging always essential?
Fei, Chengcheng J.; Vedenov, Dmitry V.; Stevens, Reid B.; … - In: Journal of agricultural and resource economics : JARE ; … 46 (2021) 3, pp. 464-478
Persistent link: https://www.econbiz.de/10012672289
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Probabilistic assessment of complex system with two subsystems in series arrangement with multi-types failure and two types of repair using copula
Kumar, Pratap; Ibrahim, Kabiru Hannafi; Abubakar, M. I.; … - In: Strategic system assurance and business analytics, (pp. 11-26). 2020
Persistent link: https://www.econbiz.de/10012240743
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Estimation of risk contributions with MCMC
Koike, Takaaki; Minami, Mihoko - In: Quantitative finance 19 (2019) 9, pp. 1579-1597
Persistent link: https://www.econbiz.de/10012194808
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Parisian types of ruin probabilities for a class of dependent risk-reserve processes
Bladt, Mogens; Nielsen, Bo Friis; Peralta, Oscar - In: Scandinavian actuarial journal 2019 (2019) 1, pp. 32-61
Persistent link: https://www.econbiz.de/10012194929
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Modeling cause-of-death mortality using hierarchical Archimedean copula
Li, Hong; Lu, Yang - In: Scandinavian actuarial journal 2019 (2019) 3, pp. 247-272
Persistent link: https://www.econbiz.de/10012194949
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About tests of the "simplifying" assumption for conditional copulas
Derumigny, Alexis; Fermanian, Jean-David - 2017
Persistent link: https://www.econbiz.de/10012196359
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Integrated measurement of liquidity risk and market risk of company bonds based on the optimal Copula model
Lin, Saiyan; Chen, Rongda; Lv, Zhihong; Zhou, Tianqing; … - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-8
Persistent link: https://www.econbiz.de/10012202884