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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/10014351843
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Two-sample testing for tail copulas with an application to equity indices
Can, Sami Umut; Einmahl, John H. J.; Laeven, Roger J. A. - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 1, pp. 147-159
Persistent link: https://www.econbiz.de/10014449844
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The nonlinear dependence of income inequality and carbon emissions : potentials for a sustainable future
Dorn, Franziska; Maxand, Simone; Kneib, Thomas - In: Ecological economics 216 (2024), pp. 1-26
Persistent link: https://www.econbiz.de/10014450098
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Marginals versus copulas : Which account for more model risk in multivariate risk forecasting?
Fritzsch, Simon; Timphus, Maike; Weiß, Gregor - In: Journal of banking and finance 158 (2024), pp. 1-21
Persistent link: https://www.econbiz.de/10014451960
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Modeling the symmetric relation between baltic exchange indexes
Pourkermani, Kasra - In: Maritime business review 8 (2023) 3, pp. 225-237
Persistent link: https://www.econbiz.de/10014486961
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Dependence structure and risk spillover among nonferrous metal futures : a vine copula approach
Ouyang, Ruolan; Ma, Jinming; Xiao, Xiaoxia - In: Applied economics letters 30 (2023) 9, pp. 1253-1260
Persistent link: https://www.econbiz.de/10014303863
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The low-magnitude and high-magnitude asymmetries in tail dependence structures in international equity markets and the role of bilateral exchange rate
Chang, Kuang-Liang - In: Journal of international money and finance 133 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014304729
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Research on Logical-and-Probabilistic Modeling of Security Portfolio and Copulas
Shokolov, Valentin; Alexeev, Vadim; Solojentsev, E.D - 2007
The technique of application of copulas in modeling of security portfolios by logical-and-probabilistic theory with … of combination of logical-and-probabilistic theory and copulas is proved …
Persistent link: https://www.econbiz.de/10014055499
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Financial Modelling with Copula Functions
Nacaskul, Ph.D., Poomjai - 2010
This set of lecture notes was developed from my ‘Copula Finance’ spring lectures for the Thammasat University’s Master …
Persistent link: https://www.econbiz.de/10014188150
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Extracting Information from Structured Credit Markets
Noss, Joseph - 2010
industry-standard ‘Gaussian copula’ model in its ability to capture the ‘tail event’ of multiple firms defaulting together …
Persistent link: https://www.econbiz.de/10014188541