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Tail dependence in financial markets : a dynamic copula approach
Cortese, Federico Pasquale - In: Risks : open access journal 7 (2019) 4/116, pp. 1-14
This article is concerned with the study of the tail correlation among equity indices by means of dynamic copula … functions. The main idea is to consider the impact of the use of copula functions in the accuracy of the model´s parameters and …
Persistent link: https://www.econbiz.de/10012127765
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Analyzing contagion effect in markets during financial crisis using stochastic autoregressive canonical vine model
Goel, Anubha; Mehra, Aparna - In: Computational economics 53 (2019) 3, pp. 921-950
Persistent link: https://www.econbiz.de/10012135103
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On the study of conditional dependence structure between oil, gold and USD exchange rates
Bedoui, Rihab; Braeik, Sana; Goutte, Stéphane; Guesmi, … - In: International review of financial analysis 59 (2018), pp. 134-146
Persistent link: https://www.econbiz.de/10012006932
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Land resilience and tail dependence among crop yield distributions
Du, Xiaodong; Hennessy, David A.; Feng, Hongli; Arora, … - In: American journal of agricultural economics 100 (2018) 3, pp. 809-828
Persistent link: https://www.econbiz.de/10012009106
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Service system with dependent service and patience times
Wu, Chenguang; Bassamboo, Achal; Perry, Ohad - In: Management science : journal of the Institute for … 65 (2019) 3, pp. 1151-1172
Persistent link: https://www.econbiz.de/10012013569
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Determining distribution for the product of random variables by using copulas
Ly, Sel; Pho, Kim-Hung; Ly, Sal; Wong, Wing Keung - In: Risks : open access journal 7 (2019) 1/23, pp. 1-20
of product for two or more random variables. Thus, the theory developed in this paper is useful for academics …
Persistent link: https://www.econbiz.de/10012015948
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Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures
Gong, Xiao-Li; Liu, Xi-Hua; Xiong, Xiong - In: Pacific-Basin finance journal 55 (2019), pp. 95-109
Persistent link: https://www.econbiz.de/10012169513
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Estimating multifactor portfolio credit risk : a variance reduction approach
Hsieh, Ming-Hua; Lee, Yi-Hsi; Shyu, So-De; Chiu, Yu-Fen - In: Pacific-Basin finance journal 57 (2019), pp. 1-17
Persistent link: https://www.econbiz.de/10012170623
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On the conditional dependence structure between oil, gold and USD exchange rates : Nested copula based GJR-GARCH model
Bedoui, Rihab; Braiek, Sana; Guesmi, Khaled; … - In: Energy economics 80 (2019), pp. 876-889
Persistent link: https://www.econbiz.de/10012173742
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A new pricing approach for SME loans issued by commercial banks based on credit score mapping and Archimedean Copula simulation
Liu, Chang; Shi, Haoming; Cai, Yujun; Shen, Shu; Lin, … - In: Journal of business economics and management 20 (2019) 4, pp. 618-632
commercial bank, the authors choose Archimedean Copula to fit the default relationship between loans, combined with the loss …
Persistent link: https://www.econbiz.de/10012175768