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Diversification in catastrophe insurance markets
Cui, Hengxin; Ken Seng Tan; Yang, Fan - In: ASTIN bulletin : the journal of the International … 51 (2021) 3, pp. 753-778
Persistent link: https://www.econbiz.de/10012656726
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A monitoring procedure for detecting structural breaks in factor copula models
Manner, Hans; Stark, Florian; Wied, Dominik - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 4, pp. 171-192
Persistent link: https://www.econbiz.de/10012657681
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Robust portfolio selection with regime switching and asymmetric dependence
Su, Xiaoshan; Bai, Manying; Han, Yingwei - In: Economic modelling 99 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012795788
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Multivariate composite copulas
Xie, Jiehua; Fang, Jun; Yang, Jingping; Bu, Lan - In: ASTIN bulletin : the journal of the International … 52 (2022) 1, pp. 145-184
Persistent link: https://www.econbiz.de/10012805743
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Panel stochastic frontier analysis with dependent error terms
El Mehdi, Rachida; Hafner, Christian M. - In: International econometric review 13 (2021) 2, pp. 24-40
error terms. The inefficiency and noise terms being dependent, a copula function which reflects the dependence between them …
Persistent link: https://www.econbiz.de/10012816131
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Reinvestigating international crude oil market risk spillovers
Jiang, Cuixia; Li, Yuqian; Xu, Qifa; Wu, Jun - In: Journal of risk 24 (2021) 1, pp. 25-52
Persistent link: https://www.econbiz.de/10012816795
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Optimal hedge ratios based on Markov-switching dynamic copula models
Li, Jinzhi - In: Journal of risk 20 (2017/2018) 6, pp. 55-74
Persistent link: https://www.econbiz.de/10011962417
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Risk dependence of CoVaR and structural change between oil prices and exchange rates : a time-varying copula model
Ji, Qiang; Liu, Bing-Yue; Fan, Ying - In: Energy economics 77 (2019), pp. 80-92
Persistent link: https://www.econbiz.de/10012306349
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Modeling portfolio credit risk taking into account the default correlations using a copula approach : implementation to an Italian loan portfolio
Di Clemente, Annalisa - In: Journal of risk and financial management : JRFM 13 (2020) 6/129, pp. 1-23
by following a copula approach and utilizing the asset return correlations of the obligors, as estimated by rigorous …
Persistent link: https://www.econbiz.de/10012309082
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Hedging asymmetric dependence
Hatherley, Anthony - In: Asymmetric dependence in finance : diversification, …, (pp. 110-132). 2018
Persistent link: https://www.econbiz.de/10011978506