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A hierarchical copula-based world-wide valuation of sovereign risk
Bernardi, Enrico; Falangi, Federico; Romagnoli, Silvio - In: Insurance / Mathematics & economics 61 (2015), pp. 155-169
Persistent link: https://www.econbiz.de/10010515899
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On multivariate extensions of the conditional value-at-risk measure
Di Bernardino, Elena; Fernández-Ponce, J. M.; … - In: Insurance / Mathematics & economics 61 (2015), pp. 1-16
Persistent link: https://www.econbiz.de/10010515946
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Copula based polychotomous choice selectivity model : application to occupational choice and wage determination of older workers
Anyarat Wichian; Jirakom Sirisrisakulchai; Songsak … - In: Econometrics of risk, (pp. 359-375). 2015
Persistent link: https://www.econbiz.de/10010498516
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Time irreversible copula-based Markov models
Beare, Brendan K.; Seo, Juwon - In: Econometric theory 30 (2014) 5, pp. 923-960
Persistent link: https://www.econbiz.de/10010502134
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The relationship between energy and equity markets : evidence from volatility impulse response functions
Olson, Eric; Vivian, Andrew J.; Wohar, Mark E. - In: Energy economics 43 (2014), pp. 297-305
Persistent link: https://www.econbiz.de/10010504812
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Modelling the general dependence between commodity forward curves
Zolotko, Mikhail; Okhrin, Ostap - In: Energy economics 43 (2014), pp. 284-296
Persistent link: https://www.econbiz.de/10010504813
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A copula-based heuristic for scenario generation
Kaut, Michal - In: Computational Management Science : CMS 11 (2014) 4, pp. 503-516
Persistent link: https://www.econbiz.de/10010437136
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Quantifying the risk using copulae with nonparametric marginals
Bolancé, Catalina; Bahroui, Zuhair; Artís Ortuño, Manuel - In: Insurance / Mathematics & economics 58 (2014), pp. 46-56
Persistent link: https://www.econbiz.de/10010437637
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The truncated multivariate normal distribution in finance and econometrics
Wilhelm, Stefan - 2014
Persistent link: https://www.econbiz.de/10010438565
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Measuring volatility and tail dependence of risk factors : an entropy-based perspective on the German stock market
Kharlamov, Georgy - 2012
Persistent link: https://www.econbiz.de/10009737049