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Search: subject:"Copula Function"
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Multivariate Verteilung
22
Multivariate distribution
22
ARCH model
7
ARCH-Modell
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Portfolio selection
7
Portfolio-Management
7
Risikomaß
7
Risk measure
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Kreditrisiko
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copula
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Aktienmarkt
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Copulas
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Weiß, Gregor
2
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1
Berger, Theo
1
Boeve, Rolf
1
Braun, Valentin
1
Böcker, Klaus
1
Candido, Osvaldo
1
Cao, Jie
1
Cao, Wenbo
1
Chang, Meng-Shiuh
1
Deering, T. Ryan
1
Farhat, Ahmad
1
Fischer, Matthias
1
Fouquau, Julien
1
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1
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1
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1
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Jiang, Cuixia
1
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1
Kharoubi, Cécile
1
Kolman, Marek
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Li, Handong
1
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Maciag, Jakob
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Journal of risk
Insurance / Mathematics & economics
95
Energy economics
58
Applied economics
40
Risks : open access journal
39
Economic modelling
37
European journal of operational research : EJOR
34
International review of financial analysis
33
The North American journal of economics and finance : a journal of financial economics studies
33
Journal of banking & finance
31
Finance research letters
29
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
28
Journal of econometrics
27
SFB 649 discussion paper
27
Journal of risk and financial management : JRFM
24
Discussion paper / Tinbergen Institute
22
The European journal of finance
22
Research in international business and finance
17
International journal of theoretical and applied finance
16
Journal of empirical finance
16
Applied economics letters
15
Computational economics
15
Discussion paper / Center for Economic Research, Tilburg University
15
International review of economics & finance : IREF
15
Econometric reviews
13
Economics letters
13
International journal of forecasting
13
Journal of international financial markets, institutions & money
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
13
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
12
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Scandinavian actuarial journal
11
Discussion paper
10
Quantitative finance
10
Robustness in econometrics
10
Astin bulletin : the journal of the International Actuarial Association
9
Diskussionspapiere / Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie
9
Econometric theory
9
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
9
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ECONIS (ZBW)
22
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1
Reinvestigating international crude oil market risk spillovers
Jiang, Cuixia
;
Li, Yuqian
;
Xu, Qifa
;
Wu, Jun
- In:
Journal of risk
24
(
2021
)
1
,
pp. 25-52
Persistent link: https://www.econbiz.de/10012816795
Saved in:
2
Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall
Liu, Xiaohang
;
Li, Handong
- In:
Journal of risk
24
(
2021
)
1
,
pp. 53-77
Persistent link: https://www.econbiz.de/10012816812
Saved in:
3
Time-varying tail dependence networks of financial institutions
Wen, Fenghua
;
Weng, Kaiyan
;
Cao, Jie
- In:
Journal of risk
23
(
2021
)
6
,
pp. 67-94
Persistent link: https://www.econbiz.de/10013473144
Saved in:
4
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
Pfeuffer, Marius
;
Nagl, Maximilian
;
Fischer, Matthias
; …
- In:
Journal of risk
22
(
2019/2020
)
4
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012297503
Saved in:
5
Could holding multiple safe havens improve diversification in a portfolio? : the extended skew-t vine copula approach
Chang, Meng-Shiuh
;
Yuan, Jing
;
Xu, Jing
- In:
Journal of risk
21
(
2018/2019
)
4
,
pp. 61-91
Persistent link: https://www.econbiz.de/10012059925
Saved in:
6
Dependence dynamics among exchange rates, commodities and the Brazilian stock market using the R-vine SCAR model
Salgado, Daniel Henrique
;
Candido, Osvaldo
- In:
Journal of risk
21
(
2018/2019
)
2
,
pp. 37-62
Persistent link: https://www.econbiz.de/10011981418
Saved in:
7
Optimal hedge ratios based on Markov-switching dynamic copula models
Li, Jinzhi
- In:
Journal of risk
20
(
2017/2018
)
6
,
pp. 55-74
Persistent link: https://www.econbiz.de/10011962417
Saved in:
8
International and temporal diversifications : the best of both worlds?
Fouquau, Julien
;
Kharoubi, Cécile
;
Spieser, Philippe
- In:
Journal of risk
20
(
2017/2018
)
4
,
pp. 27-54
Persistent link: https://www.econbiz.de/10011848923
Saved in:
9
A vine copula : GARCH approach to corporate exposure management
Wells, Christopher M.
;
Farhat, Ahmad
;
Richardson, …
- In:
Journal of risk
20
(
2017/2018
)
2
,
pp. 27-51
Persistent link: https://www.econbiz.de/10013262948
Saved in:
10
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
Persistent link: https://www.econbiz.de/10011579750
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