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Informationally dynamized Gaussian copula

Crépey, S.; Jeanblanc, Monique; Wu, Dong Li - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10009748717

Profitability of product bundling

Chen, Yongmin; Riordan, Michael H. - 2011

Persistent link: https://www.econbiz.de/10009748949

Modeling time-varying dependencies between positive-valued high-frequency time series

Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - 2012

distribution functions on Rd + defined via a copula. Maximum likelihood estimation is based on the assumption of constant copula … suggest to test for time-varying dependence by calibrating a time-varying copula model and to reestimate the VMEM based on … multiplicative error model ; copula ; time-varying copula ; highfrequency data …

Persistent link: https://www.econbiz.de/10009615120

Modelling dependence using skew t copulas : Bayesian inference and applications

Smith, Michael S.; Quan Gan; Kohn, Robert J. - In: Journal of applied econometrics 27 (2012) 3, pp. 500-522

Persistent link: https://www.econbiz.de/10009618600

Time-varying dependency and structural changes in currency markets

Hsieh, Chia-hsun; Huang, Shian-chang - In: Emerging markets finance & trade : a journal of the … 48 (2012) 2, pp. 94-127

Persistent link: https://www.econbiz.de/10009622270

Diversification evidence from international equity markets using extreme values and stochastic copulas

Bhatti, Muhammad Ishaq; Nguyen, Cuong - In: Journal of international financial markets, … 22 (2012) 3, pp. 622-646

Persistent link: https://www.econbiz.de/10009623538

Multivariate heavy-tailed models for value-at-risk estimation

Marinelli, Carlo; D'Addona, Stefano; Račev, Svetlozar T. - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-32

Persistent link: https://www.econbiz.de/10009624462

Copula contagion index and its efficiency

Cheng, Ke; Lu, Fengbin; Yang, Xiaoguang - In: Applied financial economics 22 (2012) 10/12, pp. 989-1002

Persistent link: https://www.econbiz.de/10009625564

Modelling general dependence between commodity forward curves

Zolotko, Mikhail; Okhrin, Ostap - 2012

family of dynamic conditional correlation models based on hierarchical Archimedean copulae (HAC DCC), which are flexible, but … GARCH ; hierarchical Archimedean copula ; Value-at-Risk …

Persistent link: https://www.econbiz.de/10009631566

Portfolio management under asymmetric dependence and distribution

Hlawatsch, Stefan; Reichling, Peter - In: The international journal of finance 23 (2011) 1, pp. 6645-6671

Persistent link: https://www.econbiz.de/10009655286