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The joint distribution of stock returns is not elliptical

Chicheportiche, Rémy; Bouchaud, Jean-Philippe - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-23

Persistent link: https://www.econbiz.de/10009624498

Measuring Interdependence of Inflation Uncertainty

Lee, Seohyun - 2022

The unprecedented fiscal and monetary policy responses during the COVID-19 crisis have increased uncertainty about inflation. During crises periods, the strength of the transmission of inflation uncertainty shocks from one country to another tends to intensify. This paper examines empirical...

Persistent link: https://www.econbiz.de/10014078814

Dependence modelling of lifetimes in Egyptian families

Henshaw, Kira; Hana, Waleed; Constantinescu, Corina; … - In: Risks : open access journal 11 (2023) 1, pp. 1-25

between lifetimes in spousal, parent-child and child-parent relationships, using copulas to capture the strength of …

Persistent link: https://www.econbiz.de/10014233104

Vine copula based dependence modeling in sustainable finance

Czado, Claudia; Bax, Karoline; Sahin, Özge; Nagler, Thomas - In: The Journal of finance and data science : JFDS 8 (2022), pp. 309-330

temporal dependencies can be captured by models based on vine copulas, more specifically, using ARMA-GARCH and stationary vine …

Persistent link: https://www.econbiz.de/10014433752

Drivers of firm-level tail dependence : a machine learning approach

Conlon, Thomas; Cotter, John; Ropotos, Ioannis - 2024

Persistent link: https://www.econbiz.de/10015197988

Uncovered equity parity : new evidence from a copula approach

Jung, Hojin; Su, Li; Jung, Kuk Mo - In: Applied economics 56 (2024) 59, pp. 8690-8703

Persistent link: https://www.econbiz.de/10015141901

Bounds for probabilistic programming with application to a blend planning problem

Peng, Shen; Maggioni, Francesca; Lisser, Abdel - In: European journal of operational research : EJOR 297 (2022) 3, pp. 964-976

Persistent link: https://www.econbiz.de/10013261798

Portfolio risk forecasting

Braun, Valentin; Hackethal, Andreas - In: Journal of risk 16 (2013/2014) 1, pp. 35-68

Persistent link: https://www.econbiz.de/10013262566

Identifying mixture copula components using outlier detection methods and goodness-of-fit tests

Weiß, Gregor - In: Journal of risk 16 (2013/2014) 4, pp. 61-101

Persistent link: https://www.econbiz.de/10013262930

Checking for asymmetric default dependence in a credit card portfolio : a copula approach

Crook, Jonathan N.; Moreira, Fernando - In: Journal of empirical finance 18 (2011) 4, pp. 728-742

Persistent link: https://www.econbiz.de/10009306529