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  • Search: subject_exact:"Copula function"
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Year of publication
Subjects
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Multivariate distribution 477 Multivariate Verteilung 476 Theorie 215 Theory 215 Portfolio selection 66 Portfolio-Management 66 Zeitreihenanalyse 63 Time series analysis 61 Risikomaß 52 Risk measure 51 Risikomanagement 48 ARCH model 47 ARCH-Modell 47 Statistical distribution 45 Statistische Verteilung 45 USA 45 Kreditrisiko 44 United States 44 Capital income 43 Kapitaleinkommen 43 Risk management 43 Volatilität 43 Credit risk 42 Volatility 42 Estimation 41 Schätzung 41 Multivariate Analyse 40 Multivariate analysis 38 Correlation 34 Korrelation 34 Welt 32 World 32 Derivat 31 Derivative 31 Nichtparametrisches Verfahren 28 Nonparametric statistics 28 Aktienmarkt 27 Börsenkurs 27 Share price 27 Stock market 27
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Online availability
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Free 165 Undetermined 14
Type of publication
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Article 256 Book / Working Paper 252
Type of publication (narrower categories)
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Article in journal 207 Aufsatz in Zeitschriften 207 Graue Literatur 192 Non-commercial literature 192 Arbeitspapier 165 Working Paper 165 Hochschulschrift 56 Dissertation 52 Thesis 52 Article in book 33 Aufsatz im Buch 33 Collection of articles of several authors 9 Sammelwerk 9 Collection of articles written by one author 7 Sammlung 7 Congress report 3 Kongressschrift 3 Mikroform 3 Amtsdruckschrift 2 Commentary 2 Government document 2 Kommentar 2 Kongress 2 Lehrbuch 2 Survey 2 Übersichtsarbeit 2 Article 1 Bibliographie 1 Bibliographie enthalten 1 Bibliography included 1 Statistik 1
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Language
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English 458 German 27 Undetermined 23 French 1
Persons
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Okhrin, Ostap 18 Lucas, André 11 Härdle, Wolfgang 10 Ning, Cathy Q. 9 De Schepper, Ann 8 Koopman, Siem Jan 8 Zimmer, David M. 8 Embrechts, Paul 7 Chen, Xiaohong 6 Cherubini, Umberto 6 Klein, Ingo 6 Manner, Hans 6 McAleer, Michael 6 Okhrin, Yarema 6 Panchenko, Valentyn 6 Weiß, Gregor 6 Brigo, Damiano 5 Dijk, Dick van 5 Diks, Cees G. H. 5 Fantazzini, Dean 5 Fischer, Matthias 5 Mendes, Beatriz Vaz de Melo 5 Siburg, Karl Friedrich 5 Stoimenov, Pavel A. 5 Trivedi, Pravin K. 5 Wirjanto, Tony S. 5 Allen, David E. 4 Chen, Yongmin 4 Creal, Drew 4 Danaher, Peter J. 4 Decancq, Koen 4 Heinen, Andréas 4 Koenker, Roger 4 Köck, Christian 4 Madlener, Reinhard 4 Michiels, Frederik 4 Morrisson, Christian 4 Murtin, Fabrice 4 Pallavicini, Andrea 4 Riordan, Michael H. 4
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Institutions
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Center for Economic Research <Tilburg> 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Bergische Universität Wuppertal 1 Centre for Economic Performance, LSE 1 Economics, Markets, Institutions, IMT Lucca Institute for Advanced Studies 1 Faculty of Economics, University of Cambridge 1 Institut für Future Energy Consumer Needs and Behavior (FCN), E.ON Energy Research Center 1 Society for the Study of Economic Inequality - ECINEQ 1 Springer International Publishing AG 1 Thailand Econometric Society 1 Universiteit Antwerpen / Faculteit Toegepaste Economische Wetenschappen 1 University of California Davis / Department of Economics 1 Université Paris-Dauphine (Paris IX) 1 Workshop "Copulae in Mathematical and Quantitative Finance" <2012, Krakau> 1 Wydział Nauk Ekonomicznych, Uniwersytet Warszawski 1
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Published in...
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Discussion paper 21 SFB 649 discussion paper 17 Journal of banking & finance 11 Journal of risk 10 The European journal of finance 10 International journal of theoretical and applied finance 7 Reihe Quantitative Ökonomie : Ökon 6 Working papers / Faculty of Applied Economics, Universiteit Antwerpen 6 Discussion paper / Tinbergen Institute 5 Diskussionspapiere / Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie 5 IWQW discussion paper series 5 International review of financial analysis 5 Tinbergen Institute research series 5 CORE discussion paper : DP 4 Columbia economics discussion paper series / Department of Economics, Columbia University 4 Discussion paper series 4 Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823 4 Finance and stochastics 4 Finance research letters 4 Insurance 4 Research paper series 4 The definitive guide to CDOs : market, application, valuation and hedging 4 The journal of futures markets 4 The journal of risk model validation 4 Uncertainty analysis in econometrics with applications : [This volume contains papers presented at TES 2013 - The Sixth International Conference of the Thailand Econometric Society, which is held in Chiang Mai, Thailand, during January 10th - 11th, 2013 ...] 4 Working papers / Ryerson University, Department of Economics 4 Applied quantitative finance 3 Discussion paper / Centre for Economic Policy Research 3 Journal of econometrics 3 Journal of empirical finance 3 Journal of international financial markets, institutions & money 3 Journal of international money and finance 3 Journal of risk management in financial institutions 3 Marketing science : the marketing journal of the Institute for Operations Research and the Management Sciences 3 NBP working paper 3 Research series / Universiteit van Amsterdam 3 Risiko-Manager 3 Série des documents de travail / Centre de Recherche en Économie et Statistique 3 The journal of credit risk : published quarterly by Incisive Media 3 The journal of operational risk 3
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Sources
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ECONIS (ZBW) 481 RePEc 26 EconStor 1
Showing 1 - 50 of 508
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Dependency between risks and the insurer's economic capital : a copula-based GARCH model
Shim, Jeungbo; Lee, Seung-Hwan - In: Asia-Pacific journal of risk and insurance : APJRI 11 (2017) 1, pp. 1-29
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Copula-based factor models for multivariate asset returns
Ivanov, Eugen; Min, Aleksey; Ramsauer, Franz - In: Econometrics : open access journal 5 (2017) 2, pp. 1-24
Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of them are based on vine copulas, and they differ in the choice of the regular vine structure. In this article, we consider a copula autoregressive (COPAR) approach to model the...
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Asymmetry and nonlinearity in forecasting multivariate stock market volatility
Heiden, Moritz Daniel - 2016
This cumulative dissertation studies various approaches to improve stock market volatility forecasts based on nonlinearity and asymmetric dependence modeling as well as new innovative data sources. Studying multivariate dependence patterns using a vine copula approach and incorporating Google...
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Cointegration of Bombay Stock Exchange with major Asian markets : a copula approach
Das, Santanu - In: Global business review 17 (2016) 3, pp. 566-581
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Modeling and estimating multivariate dependence structures with the Bernstein copula
Rose, Doro - 2015
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Frontiers in time series and financial econometrics : an overview
Ling, Shiqing; McAleer, Michael; Tong, Howell - 2015
Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of...
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Mixed density based copula likelihood
Azam, Kazim; Lucas, André - 2015 - This version: January 7, 2015
We consider a new copula method for mixed marginals of discrete and continuous random variables. Unlike the Bayesian methods in the literature, we use maximum likelihood estimation based on closed-form copula functions. We show with a simulation that our methodology performs similar to the...
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Portfolio risk forecasting - on the predictive power of multivariate dynamic copula models
Aepli, Matthias Daniel - 2015
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Intraday stock price dependence using dynamic discrete copula distributions
Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2015
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Non-parametric estimation of copula parameters : testing for time-varying correlation
Gong, Jinguo (contributor); Wu, Weiou (contributor);  … - In: Studies in nonlinear dynamics and econometrics : SNDE : … 19 (2015) 1, pp. 93-106
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Frontiers in time series and financial econometrics : an overview
Ling, Shiqing; McAleer, Michael; Tong, Howell - 2015
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Essays on univariate and multivariate modeling of financial market risks
Scheffer, Marcus - 2015
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Copulas in equity and credit risk : default-dependent intensity models and information-based setup
Deuß, Patrick - 2015
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On modeling financial risk with tail copulas
Jäschke, Stefan - 2015
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Copula-based stochastic frontier model with autocorrelated inefficiency
Das, Arabinda - In: Central European journal of economic modelling and … 7 (2015) 2, pp. 111-126
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The econometrics of financial comovement
Silde, Erkki - 2017
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Copulae in high dimensions: an introduction
Okhrin, Ostap; Ristig, Alexander; Xu, Ya-Fei - In: Applied quantitative finance, (pp. 247-277). 2017
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Tail dependence and systemic risk in operational losses of the US banking industry
Abdymomunov, Azamat; Ergen, Ibrahim - In: International review of finance 17 (2017) 2, pp. 177-204
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Multidimensional polarization for ordinal data
Kobus, Martyna - Society for the Study of Economic Inequality - ECINEQ - 2014
Western governments increasingly place more emphasis on non-income dimensions in measuring national well-being (e.g. the UK, France). Not only averages, but the characteristics of the whole distribution (e.g. inequalities) are taken into consideration. Commonly used data such as life...
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Cluster analysis of weighted bipartite networks: a new copula-based approach
Chessa, Alessandro; Crimaldi, Irene; Riccaboni, Massimo; … - Economics, Markets, Institutions, IMT Lucca Institute … - 2014
In this work we are interested in identifying clusters of "positional equivalent" actors, i.e. actors who play a similar role in a system. In particular, we analyze weighted bipartite networks that describes the relationships between actors on one side and features or traits on the other,...
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Stress testing and financial risks
Koliai, Lyes - 2014
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Essays on the economics of electricity markets
Elberg, Christina - 2014
The thesis at hand includes three distinct essays that analyze economic issues related to liberalized electricity markets. In the first essay, the effects of capacity mechanisms on the market structure in electricity markets are investigated. We consider a model with dominant firms and a...
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Contributions to model risk
Evers, Corinna - 2014
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Attrition bias in panel data : a sheep in wolf's clothing? : a case study based on the MABEL survey
Cheng, Terence Chai; Trivedi, Pravin K. - 2014
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Estimating the risk of joint defaults : an application to central bank collateralized lending operations
Gatarek, Dariusz; Jabłecki, Juliusz - 2014
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Asymmetric increasing trends in dependence in international equity markets
Okimoto, Tatsuyoshi - 2014
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Inflating away the public debt? : an empirical assessment
Hilscher, Jens; Raviv, Alon; Reis, Ricardo - 2014
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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
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Off the hook : measuring the impact of mobile telephone use on economic development of households in Uganda using Copulas
Blauw, Sanne; Franses, Philip Hans - In: The journal of development studies : JDS 52 (2016) 3, pp. 315-330
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The contagion channels of July-August-2011 stock market crash : a DAG-copula based approach
Jayech, Selma - In: European journal of operational research : EJOR 249 (2016) 2, pp. 631-646
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An order of asymmetry in copulas, and implications for risk management
Siburg, Karl Friedrich; Stehling, Katharina; Stoimenov, … - In: Insurance 68 (2016), pp. 241-247
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Time-varying parameter models for discrete valued time series
Lit, Rutger - 2016
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Crash aversion and the cross-section of expected stock returns worldwide
Weigert, Florian - In: Review of asset pricing studies 6 (2016) 1, pp. 135-178
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Impact of nonstationarity on estimating and modeling empirical copulas of daily stock returns
Wollschläger, Marcel; Schäfer, Rudi - In: Journal of risk 19 (2016) 1, pp. 1-23
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Risk management for grain processors and “Copulas”
Chen, Songjiao; Wilson, William W.; Larsen, Ryan; Dahl, … - In: Canadian journal of agricultural economics : CJAE 64 (2016) 2, pp. 365-382
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Convolution copula econometrics
Cherubini, Umberto; Gobbi, Fabio; Mulinacci, Sabrina - 2016 - 1st ed. 2016
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Dynamic conditional copula correlation and optimal hedge ratios with currency futures
Kotkatvuori-Örnberg, Juha - In: International review of financial analysis 47 (2016), pp. 60-69
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Copula function approaches for the analysis of serial and cross dependence in stock returns
Rivieccio, Giorgia; De Luca, Giovanni - In: Finance research letters 17 (2016), pp. 55-61
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Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136
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Value-at-risk bounds for multivariate heavy tailed distribution : an application to the Glosten-Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity model
Gammoudi, Imed; El Ghourabi, Mohamed; Belkacem, Lotfi - In: The journal of risk model validation 10 (2016) 3, pp. 49-68
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Systemic risk among European banks : a copula approach
Kleinow, Jacob; Moreira, Fernando - In: Journal of international financial markets, … 42 (2016), pp. 27-42
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Flexible estimation of copulas : an application to the US housing crisis
Ho, Anson T. Y.; Huynh, Kim P.; Jacho-Chávez, David T. - In: Journal of applied econometrics 31 (2016) 3, pp. 603-610
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Dependence structure between sukuk (Islamic bonds) and stock market conditions : an empirical analysis with Archimedean copulas
Naifar, Nader; Hammoudeh, Shawkat; Al dohaiman, Mohamed S. - In: Journal of international financial markets, … 44 (2016), pp. 148-165
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An empirical study on the correlation structure of credit spreads based on the dynamic and pair copula functions
Changqing, Luo; Li, Mengzhen; Ouyang, Zisheng - In: China finance review international 6 (2016) 3, pp. 284-303
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International correlation asymmetries : frequent-but-small and infrequent-but-large equity returns
Solnik, Bruno H.; Watewai, Thaisiri - In: Review of asset pricing studies 6 (2016) 2, pp. 221-260
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Modelling joint distribution of crop plant yields and prices with use of a copula function
Kobus, Paweł - In: Problems of World Agriculture / Problemy Rolnictwa … 13 (2013) 28
The paper constitutes an attempt at modelling the joint distribution of crop plant yields and prices in Poland. The main objective of the paper was to examine the usefulness of the copula function for the task and the selection of suitable marginal distributions. The fit of a joint distribution...
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An order for asymmetry in copulas, and implications for risk management
Siburg, Karl Friedrich (contributor);  … - 2013
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From Amazon to Apple : modeling online retail sales, purchase incidence and visit behavior
Panagiotellis, Anastasios; Smith, Michael S.; Danaher, … - 2013
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Commodity and equity markets : some stylized facts from a copula approach
Delatte, Anne-Laure; Lopez, Claude - 2013
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Financial dependence analysis : applications of vine copulae
Allen, David E. (contributor);  … - 2013
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