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Risk measurement and risk modelling using applications of vine copulas
Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - 2014
mathematical tool which can be applied in the assessment of composite financial risk. Copula-based dependence modelling is a …
Persistent link: https://www.econbiz.de/10010349457
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Dependence structure between CEEC-3 and German government securities markets
Yang, Lu; Hamori, Shigeyuki - In: Journal of international financial markets, … 29 (2014), pp. 109-125
Persistent link: https://www.econbiz.de/10010411545
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Global risk evolution and diversification : a Copula-DCC-GARCH model approach
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Revista Brasileira de Finanças : RBFin 10 (2012) 4, pp. 529-550
Persistent link: https://www.econbiz.de/10010412236
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The researches on exchange rate risk of Chinese commercial banks based on Copula-Garch model
Wang, Baoqian; Cao, Tingting; Wang, Shu - In: Modern economy 5 (2014) 5, pp. 541-551
Persistent link: https://www.econbiz.de/10010417655
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Dynamic dependencies between the Tunisian stock market and other international stock markets : GARCH-EVT-Copula approach
Chebbi, A.; Hedhli, A. - In: Applied financial economics 24 (2014) 16/18, pp. 1215-1228
Persistent link: https://www.econbiz.de/10010418906
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Sampling nested Archimedean copulas with applications to CDO pricing
Hofert, Marius - 2010
that most of the copula theory is developed for two dimensions, although from the practitioners̉ point of view the studied …
Persistent link: https://www.econbiz.de/10010420156
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A bottom-up dynamic model of portfolio credit risk : part I ; Markov copula perspective
Bielecki, Tomasz R.; Cousin, Areski; Crépey, Stéphane; … - In: Recent advances in financial engineering 2012 : …, (pp. 25-49). 2014
Persistent link: https://www.econbiz.de/10010359909
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Robust portfolio optimization with copulas
Kakouris, Iakovos; Rustem, Berç - In: European journal of operational research : EJOR 235 (2014) 1, pp. 28-37
Persistent link: https://www.econbiz.de/10010361414
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The use of copulas in explaining crop yield dependence structures for use in geographic diversification
Larsen, Ryan; Mjelde, James W.; Klinefelter, Danny; … - In: Agricultural finance review 73 (2013) 3, pp. 469-492
Persistent link: https://www.econbiz.de/10010361577
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Credit scoring model : applications of Copula theory and quantile regression
Wu, Po-chin; Laio, Jen-chieh - In: The empirical economics letters : a monthly … 12 (2013) 10, pp. 1125-1134
Persistent link: https://www.econbiz.de/10010363752