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Search: subject:"tail dependence"
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Theory
Tail dependence
185
tail dependence
173
Multivariate Verteilung
166
Multivariate distribution
166
Statistische Verteilung
132
Statistical distribution
131
Theorie
104
Kapitaleinkommen
77
Capital income
75
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71
Outliers
71
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69
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68
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66
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57
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55
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43
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43
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43
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42
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42
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41
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41
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39
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37
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37
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36
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35
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35
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34
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34
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32
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28
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27
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26
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Article
79
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20
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78
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78
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19
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19
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19
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99
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Weigert, Florian
4
Bormann, Carsten
3
Can, Sami Umut
3
Chabi-Yo, Fousseni
3
Einmahl, John H. J.
3
Furman, Edward
3
Huggenberger, Markus
3
Laeven, Roger J. A.
3
Schienle, Melanie
3
Su, Jianxi
3
Zitikis, Ričardas
3
Bücher, Axel
2
Hua, Lei
2
Jung, Hojin
2
Jäschke, Stefan
2
Kalkbrener, Michael
2
Kim, Jong-Min
2
Nasekin, Sergey
2
Okhrin, Ostap
2
Packham, Natalie
2
Paterlini, Sandra
2
Qin, Xiao
2
Stefanova, Denitsa
2
Tang, Qihe
2
Wied, Dominik
2
Yuan, Zhongyi
2
Abdullah-A Aldhufairi, Fadal
1
Accioly, Victor Bello
1
Aepli, Matthias Daniel
1
Ahn, Yongkil
1
Albulescu, Claudiu Tiberiu
1
Ali, Asgar
1
Allen, David
1
Ames, Matthew
1
An, Haizhong
1
Angelo, Claudio F. de
1
Arata, Yoshiyuki
1
Artís Ortuño, Manuel
1
Aubin, Christian
1
Avramidis, Panagiotis
1
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Insurance / Mathematics & economics
9
International review of financial analysis
5
Risks : open access journal
5
Journal of banking & finance
4
Discussion paper / Tinbergen Institute
3
International journal of forecasting
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Journal of financial econometrics
3
SFB 649 discussion paper
3
ASTIN bulletin : the journal of the International Actuarial Association
2
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2
Discussion paper / Center for Economic Research, Tilburg University
2
Finance research letters
2
Journal of empirical finance
2
Journal of risk
2
Journal of risk management in financial institutions
2
The North American journal of economics and finance : a journal of financial economics studies
2
Working papers on finance
2
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
1
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
1
Astin bulletin : the journal of the International Actuarial Association
1
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1
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1
Discussion papers / Adam Smith Business School, University of Glasgow
1
Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823
1
Documentos de trabajo / Banco de España
1
Economic modelling
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Energy economics
1
European financial management : the journal of the European Financial Management Association
1
European journal of operational research : EJOR
1
Finance a úvěr
1
IMES discussion paper series / Englische Ausgabe
1
International journal of finance & economics : IJFE
1
International journal of theoretical and applied finance
1
Journal of applied econometrics
1
Journal of commodity markets
1
Journal of econometrics
1
Journal of economic studies
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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71
Measuring and testing
tail
dependence
and contagion risk between Major stock markets
Su, Ender
- In:
Computational economics
50
(
2017
)
2
,
pp. 325-351
Persistent link: https://www.econbiz.de/10011762384
Saved in:
72
Dependence in credit default swap and equity markets : dynamic copula with Markov-switching
Fei, Fei
;
Fuertes, Ana María
;
Kalotychou, Elena
- In:
International journal of forecasting
33
(
2017
)
3
,
pp. 662-678
Persistent link: https://www.econbiz.de/10011746197
Saved in:
73
Multiple risk factor dependence structures : copulas and related properties
Su, Jianxi
;
Furman, Edward
- In:
Insurance / Mathematics & economics
74
(
2017
),
pp. 109-121
Persistent link: https://www.econbiz.de/10011712411
Saved in:
74
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
Persistent link: https://www.econbiz.de/10011598393
Saved in:
75
Tail behaviour and
tail
dependence
of generalized hyperbolic distributions
Hammerstein, Ernst August v.
- In:
Advanced modelling in mathematical finance : in honour …
,
(pp. 3-40)
.
2016
Persistent link: https://www.econbiz.de/10011800330
Saved in:
76
Dynamic correlation or
tail
dependence
hedging for portfolio selection
Elkamhia, Redouane
;
Stefanova, Denitsa
-
2010
extreme events are considered. We demonstrate that there is a substantial welfare loss indisregarding
tail
dependence
, even … varying levels of average correlation and
tail
dependence
coefficients. …
Persistent link: https://www.econbiz.de/10011383108
Saved in:
77
Paths and indices of maximal
tail
dependence
Furman, Edward
;
Su, Jianxi
;
Zitikis, Ričardas
- In:
Astin bulletin : the journal of the International …
45
(
2015
)
3
,
pp. 661-678
Persistent link: https://www.econbiz.de/10011397592
Saved in:
78
Stress testing of credit portfolios in light- and heavy-tailed models
Kalkbrener, Michael
;
Packham, Natalie
- In:
Journal of risk management in financial institutions
8
(
2015
)
1
,
pp. 34-44
Persistent link: https://www.econbiz.de/10010526459
Saved in:
79
Stress testing of credit portfolios in light- and heavy-tailed models
Kalkbrener, Michael
;
Packham, Natalie
- In:
Journal of risk management in financial institutions
8
(
2015
)
1
,
pp. 34-44
Persistent link: https://www.econbiz.de/10010526460
Saved in:
80
A new approach to assessing model risk in high dimensions
Bernard, Carole
;
Vanduffel, Steven
- In:
Journal of banking & finance
58
(
2015
),
pp. 166-178
Persistent link: https://www.econbiz.de/10011543968
Saved in:
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