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Linear time-varying regression with Copula-DCC-GARCH models for volatility

Kim, Jong-Min; Jung, Hojin - In: Economics letters 145 (2016), pp. 262-265

Persistent link: https://www.econbiz.de/10011618857

A multivariate rank test of independence based on a multiparametric polynomial copula

Mangold, Benedikt - 2015

This paper introduces a copula based multivariate rank test for independence extending existing approaches from … literature to p dimensions. Then, a multiparametric p-dimensional generalization of the FGM copula is provided that can model the … copulas. The independence copula is nested in this family if and only if every parameter is zero. In this case, a popular way …

Persistent link: https://www.econbiz.de/10011620420

Facts or fates of investors' losses during crises? : evidence from REIT-stock volatility and tail dependence structures

Huang, MeiChi; Wu, Chih-Chiang; Liu, Shih-Min; Wu, Chang-Che - In: International review of economics & finance : IREF 42 (2016), pp. 54-71

Persistent link: https://www.econbiz.de/10011625055

Change point detection for subprime crisis in American banking : from the perspective of risk dependence

Zhu, Xiaoqian; Xie, Yongjia; Li, Jianping; Wu, Dengsheng - In: International review of economics & finance : IREF 38 (2015), pp. 18-28

Persistent link: https://www.econbiz.de/10011572332

Stock prices, dividends, earnings, and investor sentiment

Baek, Chung - In: Review of quantitative finance and accounting 47 (2016) 4, pp. 1043-1061

Persistent link: https://www.econbiz.de/10011595800

Time-varying quantile association regression model with applications to financial contagion and VaR

Ye, Wuyi; Luo, Kebing; Liu, Xiaoquan - In: European journal of operational research : EJOR 256 (2017) 3, pp. 1015-1028

Persistent link: https://www.econbiz.de/10011639292

Copula directed acyclic graphs

Pircalabelu, E.; Claeskens, G.; Gijbels, Irène - 2015

Persistent link: https://www.econbiz.de/10011646396

Spread term structure and default correlation

Gagliardini, Patrick; Gouriéroux, Christian - In: Annals of economics and statistics 123/124 (2016), pp. 175-223

Persistent link: https://www.econbiz.de/10011592744

Dynamic pricing with "BOGO" promotion in revenue management

Kim, Kyoung-Kuk; Lee, Chi-Guhn; Park, Sunggyun - In: International journal of production research 54 (2016) 17/18, pp. 5283-5302

Persistent link: https://www.econbiz.de/10011530205

How are Africa's emerging stock markets related to advanced markets? : evidence from copulas

Mensah, Jones Odei; Alagidede, Paul - In: Economic modelling 60 (2017), pp. 1-10

Persistent link: https://www.econbiz.de/10011734155