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~person:"Ye, Wuyi"
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Multivariate Verteilung
5
Multivariate distribution
5
Financial crisis
3
Finanzkrise
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Ansteckungseffekt
2
CoVaR
2
Contagion effect
2
Copula
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Handelsvolumen der Börse
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High-frequency transaction data
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Intraday Value-at-Risk
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Local polynomial regression
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Messung
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Oil price
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Regime-switching copula
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Ye, Wuyi
McAleer, Michael
115
Okhrin, Ostap
71
Koopman, Siem Jan
58
Asai, Manabu
54
Härdle, Wolfgang
49
Lucas, André
47
Hafner, Christian M.
42
Caporin, Massimiliano
39
Hallin, Marc
38
Hammoudeh, Shawkat
35
Guesmi, Khaled
34
MacKinnon, James G.
34
Backhaus, Klaus
32
Chang, Chia-Lin
31
Herwartz, Helmut
31
Teräsvirta, Timo
31
Rombouts, Jeroen V. K.
29
Caporale, Guglielmo Maria
27
Smith, Michael S.
27
Webb, Matthew
27
Nguyen, Duc Khuong
26
Schmid, Wolfgang
26
Tiwari, Aviral Kumar
25
Weihs, Claus
25
Chen, Xiaohong
23
Einmahl, John H. J.
23
Galichon, Alfred
23
Härdle, Wolfgang Karl
23
Mittnik, Stefan
23
Okhrin, Yarema
23
Patton, Andrew J.
23
Croux, Christophe
22
Dufour, Jean-Marie
22
Khalaf, Lynda
22
Marcellino, Massimiliano
22
Mensi, Walid
22
Hautsch, Nikolaus
21
Manera, Matteo
21
Sentana, Enrique
20
Tansuchat, Roengchai
20
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European journal of operational research : EJOR
2
Computational economics
1
Journal of empirical finance
1
The North American journal of economics and finance : a journal of financial economics studies
1
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ECONIS (ZBW)
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1
Intraday VaR : a copula-based approach
Wang, Keli
;
Liu, Xiaoquan
;
Ye, Wuyi
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014477064
Saved in:
2
Dependence and systemic risk analysis between S&P 500 index and sector indexes : a conditional value-at-risk approach
Jiao, Shoukun
;
Ye, Wuyi
- In:
Computational economics
59
(
2022
)
3
,
pp. 1203-1229
Persistent link: https://www.econbiz.de/10013169244
Saved in:
3
A model of dynamic tail dependence between crude oil prices and exchange rates
Guo, Ranran
;
Ye, Wuyi
- In:
The North American journal of economics and finance : a …
58
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013188337
Saved in:
4
Time-varying quantile association regression model with applications to financial contagion and VaR
Ye, Wuyi
;
Luo, Kebing
;
Liu, Xiaoquan
- In:
European journal of operational research : EJOR
256
(
2017
)
3
,
pp. 1015-1028
Persistent link: https://www.econbiz.de/10011639292
Saved in:
5
Measuring the subprime crisis contagion : evidence of change point analysis of copula functions
Ye, Wuyi
;
Liu, Xiaoquan
;
Miao, Baiqi
- In:
European journal of operational research : EJOR
222
(
2012
)
1
,
pp. 96-103
Persistent link: https://www.econbiz.de/10009569564
Saved in:
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