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High inflation during Russia-Ukraine war and financial market interaction : evidence from C-Vine Copula and SETAR models
Hamza, Taher; Ben Haj Hamida, Hayet; Mili, Mehdi; Sami, Mina - In: Research in international business and finance 70 (2024) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10015056940
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Cyber risk in insurance : a quantum modeling
Lefevre, Claude; Tamturk, Muhsin; Utev, Sergey; … - In: Risks : open access journal 12 (2024) 5, pp. 1-16
examine how historical cyber claims can be utilized through the application of copula functions for dependent insurance claims …
Persistent link: https://www.econbiz.de/10014636546
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Dependence modelling for heavy-tailed multi-peril insurance losses
Yan, Tianxing; Yi, Lu; Jeong, Himchan - In: Risks : open access journal 12 (2024) 6, pp. 1-17
dependence of claims from all types of coverage, an independent model, a hierarchical model, and some copula-based models are …
Persistent link: https://www.econbiz.de/10014636713
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Vine copula-based scenario tree generation approaches for portfolio optimization
He, Xiaolei; Zhang, Weiguo - In: Journal of forecasting 43 (2024) 6, pp. 1936-1955
Persistent link: https://www.econbiz.de/10015110342
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Unveiling mispricing risks : nonlarge homogeneous portfolio factor copula models for enhanced valuation of subordinated loan securitization
Kim, Sung Ik - In: The journal of futures markets 44 (2024) 10, pp. 1710-1732
Persistent link: https://www.econbiz.de/10015110722
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Portfolio selection via high-dimensional stochastic factor Copula
Chen, Zhenlong; Chang, Jing; Hao, Xiaozhen - In: Finance research letters 67 (2024) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10015061465
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An assessment of copula functions approach in conjunction with factor model in portfolio credit risk management
Kao, Lie-Jane; Wu, Po-Cheng; Lee, Cheng F. - 2024
Persistent link: https://www.econbiz.de/10015045615
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Sample selection bias in non-traditional lending : a copula-based approach for imbalanced data
Calabrese, Raffaella; Osmetti, Silvia Angela; Zanin, Luca - In: Socio-economic planning sciences : the international … 95 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10015101827
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Dynamic Factor Copula Models with Estimated Cluster Assignments
Oh, Dong Hwan; Patton, Andrew J. - 2021
This paper proposes a dynamic multi-factor copula for use in high-dimensional time series applications. A novel feature …
Persistent link: https://www.econbiz.de/10013251604
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How Can Long Memory in Volatility Be Eliminated in Portfolio Optimization : An Empirical Evidence Using Copulas
Mzoughi, Hela - 2021
This paper focuses on the analysis of long-memory properties of copula-based time series. We empirically investigate …
Persistent link: https://www.econbiz.de/10013252451