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Analyzing and modeling multivariate association : statistical measures and pair-copula constructions
Schnieders, Julius - 2013 - 1. Aufl.
Persistent link: https://www.econbiz.de/10013360883
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On copula density estimation and measures of multivariate association
Blumentritt, Thomas - 2012 - 1. Aufl.
Persistent link: https://www.econbiz.de/10013360906
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Multivariate Modellierung der Renditen von Asset-Klassen auf Basis von Copulas mit Anwendungen im Risikomanagement
Jensen, Sören - 2012
Persistent link: https://www.econbiz.de/10013360909
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Extremal connectedness of hedge funds
Mhalla, Linda; Hambuckers, Julien; Lambert, Marie - In: Journal of applied econometrics 37 (2022) 5, pp. 988-1009
Persistent link: https://www.econbiz.de/10013464644
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Commodity market financialization, herding and signals : an asymmetric GARCH R-vine copula approach
Qin, Xiao; Yan, Meilan; Zhang, Dalu - In: International review of financial analysis 89 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014466342
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Portfolio optimization through hybrid deep learning and genetic algorithms vine Copula-GARCH-EVT-CVaR model
Bedoui, Rihab; Benkraiem, Ramzi; Guesmi, Khaled; … - In: Technological forecasting & social change : an … 197 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014468847
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Bitcoin vs. fiat currencies : insights from extreme dependence and risk spillover analysis with financial markets
Abid, Ilyes; Bouri, Elie; Galariotis, Emilios; Guesmi, … - In: International review of financial analysis 90 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10014469176
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Dynamic factor copula models with estimated cluster assignments
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of econometrics 237 (2023) 2,3, pp. 1-23
Persistent link: https://www.econbiz.de/10014471820
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Comparison of Value at Risk (VaR) multivariate forecast models
Müller, Fernanda Maria; Righi, Marcelo Brutti - In: Computational economics 63 (2024) 1, pp. 75-110
Persistent link: https://www.econbiz.de/10014471980
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Spatial Joint Modeling of Claim Frequency and Claim Size in Third-Party Car Insurance of Iran Based on Copula Functions
Tadayon, Vahid; Ghanbarzadeh, Mitra - 2023
dependence structure within the observations is modeled using an appropriate copula function. Considering a similar framework for …
Persistent link: https://www.econbiz.de/10014348220