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Extreme co-movements and dependencies among major international exchange rates : a copula approach
Albulescu, Claudiu Tiberiu; Aubin, Christian; Goyeau, Daniel - In: The quarterly review of economics and finance : journal … 69 (2018), pp. 56-69
Persistent link: https://www.econbiz.de/10012034997
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Copula theory and probabilistic sensitivity analysis : is there a connection?
Plischke, Elmar; Borgonovo, Emanuele - In: European journal of operational research : EJOR 277 (2019) 3, pp. 1046-1059
Persistent link: https://www.econbiz.de/10012102237
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New evidence on asymmetric return-volume dependence and extreme movements
Wang, Yi-Chiuan; Wu, Jyh-lin; Lai, Yi-Hao - In: Journal of empirical finance 45 (2018), pp. 212-227
Persistent link: https://www.econbiz.de/10012102448
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A copula sample selection model for predicting multi-year LGDs and Lifetime Expected Losses
Krüger, Steffen; Oehme, Toni; Rösch, Daniel; Scheule, … - In: Journal of empirical finance 47 (2018), pp. 246-262
Persistent link: https://www.econbiz.de/10012103459
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Copula-based measurement of interdependence for discrete distributions
Kobus, Martyna; Kurek, Radosław - In: Journal of mathematical economics 79 (2018), pp. 27-39
Persistent link: https://www.econbiz.de/10012105587
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Portfolio selection based on predictive joint return distribution
Jiang, Cuixia; Ding, Xiaoyi; Xu, Qifa; Liu, Yezheng - In: Applied economics 51 (2019) 2, pp. 196-206
Persistent link: https://www.econbiz.de/10012160468
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Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios
Bruneau, Catherine; Flageollet, Alexis; Peng, Zhun - 2020
Persistent link: https://www.econbiz.de/10012165556
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The study on the tail dependence structure between the economic policy uncertainty and several financial markets
Yao, Can-Zhong; Sun, Bo-Yi - In: The North American journal of economics and finance : a … 45 (2018), pp. 245-265
Persistent link: https://www.econbiz.de/10012117778
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Detecting exchange rate contagion using copula functions
Cubillos-Rocha, Juan S.; Gómez González, José Eduardo; … - In: The North American journal of economics and finance : a … 47 (2019), pp. 13-22
Persistent link: https://www.econbiz.de/10012117799
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An efficient portfolio loss model
Fenger, Christian - In: The journal of credit risk : published quarterly by … 15 (2019) 3, pp. 21-39
Persistent link: https://www.econbiz.de/10012121560