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Some systemic risk indicators
El Qalli, Yassine; Said, Khalil - In: Risk and decision analysis 9 (2023) 2/4, pp. 39-56
Persistent link: https://www.econbiz.de/10014473406
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How does bubble risk propagate among financial assets? : a perspective from the BSADF-vine copula model
Yao, Can-Zhong; Li, Min-Jian; Xu, Xin - In: International review of economics & finance : IREF 88 (2023), pp. 347-364
Persistent link: https://www.econbiz.de/10014475372
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Hedging performance analysis of energy markets : evidence from copula quantile regression
Ren, Xianling; Yu, Xinping - In: The journal of futures markets 44 (2024) 3, pp. 432-450
Persistent link: https://www.econbiz.de/10014475503
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A financial modeling approach to industry exchange-traded funds selection
Conlon, Thomas; Cotter, John; Kovalenko, Illia; Post, … - In: Journal of empirical finance 74 (2023), pp. 1-19
Persistent link: https://www.econbiz.de/10014477136
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Risk implications of dependence in the commodities : a copula-based analysis
Jain, Prachi; Maitra, Debasish - In: Global finance journal 57 (2023), pp. 1-22
Persistent link: https://www.econbiz.de/10014479135
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Modeling underwriting risk : a copula regression analysis on U.S. property-casualty insurance byline loss ratios
Tsai, Jeffrey Tzuhao; Lo, Chien-Ling - In: Pacific-Basin finance journal 83 (2024), pp. 1-18
Persistent link: https://www.econbiz.de/10014491177
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Diversification benefits of commodities in portfolio allocation : a dynamic factor copula approach
Gaete, Michael; Herrera, Rodrigo - In: Journal of commodity markets 32 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014495646
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Modeling multivariate operational losses via copula-based distributions with g-and-h marginals
Bee, Marco; Hambuckers, Julien - In: The journal of operational risk 17 (2022) 1, pp. 81-111
Persistent link: https://www.econbiz.de/10014546257
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Forecasting day-ahead electricity prices with spatial dependence
Yang, Yifan; Guo, Ju'e; Li, Yi; Zhou, Jiandong - In: International journal of forecasting 40 (2024) 3, pp. 1255-1270
Persistent link: https://www.econbiz.de/10014547277
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Robust portfolio selection with subjective risk aversion under dependence uncertainty
Su, Xiaoshan; Li, Yuhan - In: Economic modelling 132 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014547968