Search Results - subject:"Pair Copula"

Pair-copula constructions for financial applications : a review

Aas, Kjersti - In: Econometrics : open access journal 4 (2016) 4, pp. 1-15

This survey reviews the large and growing literature on the use of pair-copula constructions (PCCs) in financial …

Persistent link: https://www.econbiz.de/10011650530

On candlestick-based trading rules profitability analysis via parametric bootstraps and multivariate Pair-Copula based models

Röthig, Andreea; Röthig, Andreas; Chiarella, Carl - 2015

Persistent link: https://www.econbiz.de/10011344226

Estimating Pair-Copula Constructions Using Empirical Tail Dependence Functions: an Application to Russian Stock Market

Travkin, A. - In: Journal of the New Economic Association 25 (2015) 1, pp. 39-55

risk of simultaneous high loss in their prices. In this paper the choice of pair-copulas in pair-copula construction model … advantages of pair-copula constructions as models of multivariate dependence. …

Persistent link: https://www.econbiz.de/10011276286

An advanced platform for power system security assessment accounting for forecast uncertainties

Ciapessoni, Emanuele; Cirio, Diego; Pitto, Andrea; … - In: International journal of management and decision making … 18 (2019) 3, pp. 257-281

Persistent link: https://www.econbiz.de/10012106744

Dynamic D-vine copula model with applications to Value-at-Risk (VaR)

Tófoli, Paula V.; Ziegelmann, Flávio A.; Candido, Osvaldo - In: Journal of time series econometrics 11 (2019) 2, pp. 1-34

Persistent link: https://www.econbiz.de/10012022874

Behavioral portfolio selection and optimization : an application to international stocks

Simo-Kengne, Beatrice D.; Ababio, Kofi A.; Mba, Jules; … - In: Financial markets and portfolio management 32 (2018) 3, pp. 311-328

Persistent link: https://www.econbiz.de/10011951985

Impact of D-Vine structure on risk estimation

Bolancé, Catalina; Alemany, Ramon; Padilla Barreto, … - In: Journal of risk 20 (2017/2018) 5, pp. 1-32

Persistent link: https://www.econbiz.de/10011914672

Copula approaches for modeling cross-sectional dependence of data breach losses

Eling, Martin; Jung, Kwangmin - In: Insurance / Mathematics & economics 82 (2018), pp. 167-180

Persistent link: https://www.econbiz.de/10011929865

Default Probability Estimation via Pair Copula Constructions

Dalla Valle, Luciana; De Giuli, Maria Elena; Manelli, … - Dipartimento di Scienze Economiche e Aziendali, … - 2013

multivariate contingent claim analysis and pair copula theory. Balance sheet data are used to asses the firm value and to compute … its default probability. The firm pricing function is obtained via a pair copula approach, and Monte Carlo simulations are …

Persistent link: https://www.econbiz.de/10010691650

Pair copula constructions in portfolio optimization ploblem

Travkin, Alexandr - In: Applied Econometrics 32 (2013) 4, pp. 110-133

. As such distribution functions pair-copula constructions (PCC), or vine-copulae, on arbitrary R-vines are used. For the …

Persistent link: https://www.econbiz.de/10010891901