Similar Search Results

Multivariate Modellierung operationeller Risiken in Kreditinstituten

Bayer, Verena - 2012 - 1. Aufl.

Persistent link: https://www.econbiz.de/10009505637

The crash-NIG copula model : risk measurement and management of credit portfolios

Schlösser, Anna; Zagst, Rudi - In: Journal of risk management in financial institutions 4 (2010/11) 4, pp. 392-418

Persistent link: https://www.econbiz.de/10009507706

Modelling the bivariate dependence structure of exchange rates before and after the introduction of the Euro : a semi-parametric approach

Boero, Gianna; Silvapulle, Paramsothy; Tursunalieva, Ainura - In: International journal of finance & economics : IJFE 16 (2011) 4, pp. 357-374

Persistent link: https://www.econbiz.de/10009508876

Analysing financial contagion and asymmetric market dependence with volatility indices via copulas

Yue Peng; Wing Lon Ng - In: Annals of finance 8 (2012) 1, pp. 49-74

Persistent link: https://www.econbiz.de/10009510581

Assessing some stylized facts about financial market indexes : a Markov copula approach

Silva Filho, Osvaldo Candido da; Ziegelmann, Flávio A. - In: Journal of economic studies 41 (2014) 2, pp. 253-271

Persistent link: https://www.econbiz.de/10010259266

Managed care and health care utilization : specification of bivariate models using copulas

Shi, Peng; Zhang, Wei - In: North American actuarial journal 17 (2013) 4, pp. 306-324

Persistent link: https://www.econbiz.de/10010259838

Small sample properties of Copula-GARCH modelling : a Monte Carlo study

Bianchi, Carluccio; De Giuli, Maria Elena; Fantazzini, Dean - 2009

Copula-GARCH models have been recently proposed in the financial literature as a statistical tool to build flexible … how misspecification in the marginals may affect the estimation of the dependence function represented by the copula. We … negatively biased estimates of the normal copula correlations. A striking result is that these biases reach their highest value …

Persistent link: https://www.econbiz.de/10010259914

Dynamic copula models and high frequency data

De Lira Salvatierra, Irving Arturo; Patton, Andrew J. - 2013

Persistent link: https://www.econbiz.de/10010231950

A note on allocation of portfolio shares of random assets with Archimedean copula

Li, Xiaohu; You, Yinping - In: Stochastic methods in reliability and risk management : …, (pp. 155-167). 2014

Persistent link: https://www.econbiz.de/10010239387

A note on a simplified and general approach to simulating from multivariate copula functions

Goodwin, Barry K. - In: Applied economics letters 20 (2013) 7/9, pp. 910-915

Persistent link: https://www.econbiz.de/10009763255