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Modelling default dependence in automotive supply networks using vine-copula

Alavifard, Farzad - In: International journal of production research 57 (2019) 2, pp. 433-451

Persistent link: https://www.econbiz.de/10012183680

A Markov-switching COGARCH approach to cryptocurrency portfolio selection and optimization

Mba, Jules Clement; Mwambi, Sutene - In: Financial markets and portfolio management 34 (2020) 2, pp. 199-214

Persistent link: https://www.econbiz.de/10012289624

Copula model selection for vehicle component failures based on warranty claims

Wifvat, Kathryn; Kumerow, John; Shemyakin, Arkady - In: Risks : open access journal 8 (2020) 2/56, pp. 1-15

components are combined to construct a bivariate copula model for the joint distribution that makes it possible to estimate the …-parameter Archimedean copula models (Clayton, Gumbel–Hougaard, survival copulas) is analyzed, and Bayesian model selection is performed …

Persistent link: https://www.econbiz.de/10012292906

The investigation of a forward-rate mortality framework

Alai, Daniel H.; Ignatieva, Ekaterina; Sherris, Michael - In: Risks : open access journal 7 (2019) 2/61, pp. 1-22

Stochastic mortality models have been developed for a range of applications from demographic projections to financial management. Financial risk based models built on methods used for interest rates and apply these to mortality rates. They have the advantage of being applied to financial pricing...

Persistent link: https://www.econbiz.de/10012018993

Direct and hierarchical models for aggregating spatially dependent catastrophe risks

Wójcik, Rafał; Liu, Charlie Wusuo; Guin, Jayanta - In: Risks : open access journal 7 (2019) 2/54, pp. 1-22

variables to aggregate catastrophe risk. The algorithms are based on direct and hierarchical copula trees. Computing speed comes …

Persistent link: https://www.econbiz.de/10012019121

Moment redundancy test with application to efficiency-improving copulas

Hao, Bowen; Prokhorov, Artem; Qian, Hailong - In: Economics letters 171 (2018), pp. 29-33

Persistent link: https://www.econbiz.de/10012021844

Conditional term structure of inflation forecast uncertainty : the copula approach

Charemza, Wojciech; Díaz, Carlos; Makarova, Svetlana D. - In: Romanian journal of economic forecasting 22 (2019) 1, pp. 5-18

Persistent link: https://www.econbiz.de/10012021948

Determining distribution for the quotients of dependent and independent random variables by using copulas

Ly, Sel; Pho, Kim-Hung; Ly, Sal; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 12 (2019) 1/42, pp. 1-27

applications in Risk Management, Finance, Economics, Science, and many other areas. This paper develops the theory on both density … . Thereafter, we extend the theory by establishing the density and distribution functions for the quotients Y=X1X2 and Z=X1X1+X2 of … two dependent normal random variables X1 and X2 in the case of Gaussian copulas. We then develop the theory on the median …

Persistent link: https://www.econbiz.de/10012022301

Dynamic D-vine copula model with applications to Value-at-Risk (VaR)

Tófoli, Paula V.; Ziegelmann, Flávio A.; Candido, Osvaldo - In: Journal of time series econometrics 11 (2019) 2, pp. 1-34

Persistent link: https://www.econbiz.de/10012022874

Credit risk clustering in a business group : which matters more, systematic or idiosyncratic risk?

Li, Feng; He, Zhuojing - In: Cogent economics & finance 7 (2019) 1, pp. 1-23

covariate-dependent copula models to assess the dynamic nature of credit risk dependence, which we define as "credit risk …

Persistent link: https://www.econbiz.de/10012024047