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~person:"Fermanian, Jean-David"
~person:"Yang, Jingping"
~subject:"Portfolio selection"
~subject:"Theory"
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Search: subject_exact:"Multivariate Verteilung"
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Portfolio selection
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Multivariate Verteilung
18
Multivariate distribution
18
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6
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6
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4
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copula
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Fermanian, Jean-David
Yang, Jingping
Okhrin, Ostap
30
Härdle, Wolfgang
14
Manner, Hans
12
Prokhorov, Artem
10
Smith, Michael S.
10
Diks, Cees G. H.
9
Einmahl, John H. J.
9
Fantazzini, Dean
9
Fischer, Matthias
9
Koopman, Siem Jan
9
Lucas, André
9
Patton, Andrew J.
9
Berger, Theo
8
Cossette, Hélène
8
Kim, Jong-Min
8
Panchenko, Valentyn
8
Sahamkhadam, Maziar
8
Shi, Peng
8
Weiß, Gregor
8
Zhao, Yang
8
Dijk, Dick van
7
Heinen, Andréas
7
Klein, Ingo
7
Laeven, Roger J. A.
7
Mangold, Benedikt
7
Okhrin, Yarema
7
Reboredo, Juan Carlos
7
Romagnoli, Silvia
7
Satchell, Stephen
7
Stübinger, Johannes
7
Tiwari, Aviral Kumar
7
Weigert, Florian
7
Wied, Dominik
7
Anatolyev, Stanislav
6
Beare, Brendan K.
6
Cerrato, Mario
6
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6
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6
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4
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2
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1
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ECONIS (ZBW)
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1
Asymptotic subadditivity/superadditivity of Value-at-Risk under tail dependence
Zhu, Wenhao
;
Li, Lujun
;
Yang, Jingping
;
Xie, Jiehua
; …
- In:
Mathematical finance : an international journal of …
33
(
2023
)
4
,
pp. 1314-1369
Persistent link: https://www.econbiz.de/10014370668
Saved in:
2
Multivariate composite copulas
Xie, Jiehua
;
Fang, Jun
;
Yang, Jingping
;
Bu, Lan
- In:
ASTIN bulletin : the journal of the International …
52
(
2022
)
1
,
pp. 145-184
Persistent link: https://www.econbiz.de/10012805743
Saved in:
3
About tests of the "simplifying" assumption for conditional copulas
Derumigny, Alexis
;
Fermanian, Jean-David
-
2017
Persistent link: https://www.econbiz.de/10012196359
Saved in:
4
On the dependence between default risk and recovery rates in structural models
Fermanian, Jean-David
- In:
Annals of economics and statistics
140
(
2020
),
pp. 45-82
Persistent link: https://www.econbiz.de/10012602600
Saved in:
5
Copula-based Markov process
Fang, Jun
;
Jiang, Fan
;
Liu, Yong
;
Yang, Jingping
- In:
Insurance / Mathematics & economics
91
(
2020
),
pp. 166-187
Persistent link: https://www.econbiz.de/10012242005
Saved in:
6
Single-index copulae
Fermanian, Jean-David
;
Lopez, Olivier
-
2015
Persistent link: https://www.econbiz.de/10011854699
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7
Stochastic distortion and its transformed copula
Lin, Feng
;
Peng, Liang
;
Xie, Jiehua
;
Yang, Jingping
- In:
Insurance / Mathematics & economics
79
(
2018
),
pp. 148-166
Persistent link: https://www.econbiz.de/10011825432
Saved in:
8
Remarks on composite Bernstein copula and its application to credit risk analysis
Guo, Nan
;
Wang, Fang
;
Yang, Jingping
- In:
Insurance / Mathematics & economics
77
(
2017
),
pp. 38-48
Persistent link: https://www.econbiz.de/10011783884
Saved in:
9
Distorted mix method for constructing copulas with tail dependence
Li, Lujun
;
Yuen, K. C.
;
Yang, Jingping
- In:
Insurance / Mathematics & economics
57
(
2014
),
pp. 77-89
Persistent link: https://www.econbiz.de/10010402723
Saved in:
10
A asymptotic total variation test for copulas
Fermanian, Jean-David
;
Radulović, Dragan
;
Wegkamp, …
-
2013
Persistent link: https://www.econbiz.de/10010342718
Saved in:
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