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Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals : aggregation and capital allocation

Cossette, Hélène; Côté, Marie-Pier; Marceau, Etienne; … - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 560-572

Persistent link: https://www.econbiz.de/10009763583

Maximum likelihood estimation of seemingly unrelated stochastic frontier regressions

Lai, Hung-pin; Huang, Cliff J. - In: Journal of productivity analysis 40 (2013) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10009768400

Long memory and tail dependence in trading volume and volatility

Rossi, Eduardo; Santucci de Magistris, Paolo - In: Journal of empirical finance 22 (2013), pp. 94-112

Persistent link: https://www.econbiz.de/10009768422

Risk aggregation by a copula with a stressed condition

Yoshiba, Toshinao - 2013

Persistent link: https://www.econbiz.de/10010189914

Dependent competing risks : cause elimination and its impact on survival

Dimitrova, Dimitrina S.; Haberman, Steven; Kaishev, … - In: Insurance / Mathematics & economics 53 (2013) 2, pp. 464-477

Persistent link: https://www.econbiz.de/10010195909

Goodness-of-fit test for specification of semiparametric copula dependence models

Zhang, Shulin; Okhrin, Ostap; Zhou, Qian M.; Song, … - 2013

This paper concerns goodness-of-fit test for semiparametric copula models. Our contribution is two-fold: we first … use of any probability integral transformations. Under the null hypothesis that the copula model is correctly specified …

Persistent link: https://www.econbiz.de/10009789426

Collateralized debt obligations : a moment matching pricing technique based on copula functions

Marcantoni, Enrico - 2014 - Aufl. 2014

Gaussian dependence in terms of Copula functions. In particular the model is rewritten for the specific case of the Clayton … copula. The method is applied to price the tranches of a CDX. By comparing the tranches prices, it is possible to notice that … higher when the dependence is modeled by a Clayton copula. Contents CDO: General Characteristics Credit Risk Modeling Copula …

Persistent link: https://www.econbiz.de/10010245397

Estimating the basis risk of index-linked hedging strategies using multivariate extreme value theory

Kellner, Ralf; Gatzert, Nadine - In: Journal of banking & finance 37 (2013) 11, pp. 4353-4367

Persistent link: https://www.econbiz.de/10010247034

A comparison of cointegration and copula asset allocation approaches

Stander, Y. S.; Marais, Daniël J.; Botha, I. - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 37 (2013) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10010248325

Weak dependence between the Brazilian consumer inflation and expected inflation : non-linear and Copulas methods and a note on the Central Bank's credibility

Moreira, Ricardo Ramalhete; Chaiboonsri, Chukiat; … - In: International journal of monetary economics and finance 6 (2013) 1, pp. 40-54

Persistent link: https://www.econbiz.de/10010250294