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Parallel Bayesian inference for high-dimensional dynamic factor copulas
Nguyen, Hoang; Ausín, M. Concepción; Galeano, Pedro - In: Journal of financial econometrics 17 (2019) 1, pp. 118-151
Persistent link: https://www.econbiz.de/10012054431
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Dynamic dependence structure between energy markets and the Italian stock index
Masala, Giovanni - In: Investment management and financial innovations 15 (2018) 2, pp. 60-67
Persistent link: https://www.econbiz.de/10012055096
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Dynamic hedging with futures : a copula-based GARCH model with high-frequency data
Lai, Yu-Sheng - In: Review of derivatives research 21 (2018) 3, pp. 307-329
Persistent link: https://www.econbiz.de/10012055744
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Modelling mortality dependence with regime-switching copulas
Rui, Zhou - In: Astin bulletin : the journal of the International … 49 (2019) 2, pp. 373-407
Persistent link: https://www.econbiz.de/10012056596
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A dependent frequency-severity approach to modeling longitudinal insurance claims
Lee, Gee; Shi, Peng - In: Insurance / Mathematics & economics 87 (2019), pp. 115-129
Persistent link: https://www.econbiz.de/10012058928
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Collective risk models with dependence
Cossette, Hélène; Marceau, Etienne; Mtalai, Itre - In: Insurance / Mathematics & economics 87 (2019), pp. 153-168
Persistent link: https://www.econbiz.de/10012058960
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Panic-aware portfolio optimization
Zorn, Josef - In: The journal of asset management 20 (2019) 2, pp. 103-110
Persistent link: https://www.econbiz.de/10012059765
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Could holding multiple safe havens improve diversification in a portfolio? : the extended skew-t vine copula approach
Chang, Meng-Shiuh; Yuan, Jing; Xu, Jing - In: Journal of risk 21 (2018/2019) 4, pp. 61-91
Persistent link: https://www.econbiz.de/10012059925
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Dependence structure of volatility and illiquidity on Vienna and Warsaw stock exchanges
Gurgul, Henryk; Syrek, Robert - In: Finance a úvěr 69 (2019) 3, pp. 198-221
Persistent link: https://www.econbiz.de/10012137438
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Testing for structural breaks in factor copula models
Manner, Hans; Stark, Florian; Wied, Dominik - In: Journal of econometrics 208 (2019) 2, pp. 324-345
Persistent link: https://www.econbiz.de/10012145023