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Dynamic asymmetric effect of currency risk pricing of exchange rate on equity markets : a regime-switching based C-Vine copulas method

Mudiangombe, Benjamin; Muteba Mwamba, John - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-30

This paper investigates whether currency risk is priced differently in the different sectors (industrial, financial, and basic materials) of equity markets in a sample of developed United States of America (USA) and developing economies (Brazil, India, Poland, and South Africa). The paper makes...

Persistent link: https://www.econbiz.de/10013368440

Bivariate copula trees for gross loss aggregation with positively dependent risks

Wójcik, Rafał; Liu, Charlie Wusuo - In: Risks : open access journal 10 (2022) 8, pp. 1-24

insurance portfolio. Hierarchical risk aggregation is performed using bivariate copula trees. Six common parametric copula … families are studied. At every branching node, the distribution of a sum of risks is obtained by discrete copula convolution …

Persistent link: https://www.econbiz.de/10013368496

The impact of counterparty risk on the basis risk of industry loss warranties and on (collateralized) reinsurance under (non-)linear dependence structures

Bockius, Heike; Gatzert, Nadine - In: The journal of risk finance : JRF 23 (2022) 3, pp. 245-263

Persistent link: https://www.econbiz.de/10013370544

Spatio-temporal probabilistic forecasting of wind power for multiple farms : a copula-based hybrid model

Arrieta-Prieto, Mario; Schell, Kristen R. - In: International journal of forecasting 38 (2022) 1, pp. 300-320

Persistent link: https://www.econbiz.de/10013347791

Vine copula Granger causality in mean

Jang, Hyuna; Kim, Jong-Min; Noh, Hohsuk - In: Economic modelling 109 (2022), pp. 1-10

Persistent link: https://www.econbiz.de/10013348254

Unveiling endogeneity and temporal dependence in energy prices and demand in Iberian countries : a stochastic hidden Markov model approach

Antunes, Jorge Junio Moreira; Gil-Alaña, Luis A.; … - In: Financial modeling and risk management of energy and …, (pp. 191-229). 2022

Persistent link: https://www.econbiz.de/10013349945

Managing inventory financing in a volatile market : a novel data-driven copula model

Zhi, Bangdong; Wang, Xiaojun; Xu, Fangming - In: Transportation research / E : an international journal 165 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013383670

Dynamic stock dependence and monetary variables in the United States (2000-2016) : a copula and neural network approach

Sosa, Miriam; Bucio, Christian; Ortiz Calisto, Edgar - In: Lecturas de economía 96 (2022), pp. 201-234

Persistent link: https://www.econbiz.de/10013387217

Time-varying asymmetric tail dependence of international equities markets

Zhou, Chunyang; Qin, Xiao - In: Pacific-Basin finance journal 68 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10013332425

Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models

Kaldorf, Matthias; Wied, Dominik - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10013334611