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Conditional quantiles and tail dependence in the volatilities of gold and silver
Bouri, Elie; Jalkh, Naji - In: International economics : a journal published by CEPII … 157 (2019), pp. 117-133
Persistent link: https://www.econbiz.de/10012318694
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Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
Pfeuffer, Marius; Nagl, Maximilian; Fischer, Matthias; … - In: Journal of risk 22 (2019/2020) 4, pp. 1-30
Persistent link: https://www.econbiz.de/10012297503
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GAS Copula models on who's systemically important in South Africa : banks or insurers?
Manguzvane, Mathias Mandla; Muteba Mwamba, John - In: Empirical economics : a journal of the Institute for … 59 (2020) 4, pp. 1573-1604
Persistent link: https://www.econbiz.de/10012298826
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Intraday portfolio risk management using VaR and CVaR : a CGARCH-EVT-Copula approach
Karmakar, Madhusudan; Paul, Samit - In: International journal of forecasting 35 (2019) 2, pp. 699-709
Persistent link: https://www.econbiz.de/10012300717
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The bivariate probit model, maximum likelihood estimation, pseudo true parameters and partial identification
Li, Chuhui; Poskitt, Donald Stephen; Zhao, Xueyan - In: Journal of econometrics 209 (2019) 1, pp. 94-113
Persistent link: https://www.econbiz.de/10012302525
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Brexit and the dependence structure among the G7 bank equity markets
Nekhili, Ramzi; Giannopoulos, Kostas - In: Investment management and financial innovations 17 (2020) 2, pp. 231-239
Persistent link: https://www.econbiz.de/10012303143
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A copula-based systemic risk measure : application to investment-grade and high-yield CDS portfolios
Choi, So Eun; Jang, Hyun Jin; Choe, Geon Ho - In: Applied economics letters 27 (2020) 15, pp. 1264-1271
Persistent link: https://www.econbiz.de/10012267120
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Nonparametric inference for distortion risk measures on tail regions
Hou, Yanxi; Wang, Xing - In: Insurance / Mathematics & economics 89 (2019), pp. 92-110
Persistent link: https://www.econbiz.de/10012133516
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Stress testing for retail mortgages based on probability analysis
Liu, Chang; Nassar, Raja - In: Computational economics 53 (2019) 1, pp. 433-455
Persistent link: https://www.econbiz.de/10012134696
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Network topology and systemic risk : evidence from the Euro Stoxx market
Li, Wenwei; Hommel, Ulrich; Paterlini, Sandra - In: Finance research letters 27 (2018), pp. 105-112
Persistent link: https://www.econbiz.de/10012006755