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  • Search: subject:"Pair Copula"
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Year of publication
Subject
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Multivariate Verteilung 12 Multivariate distribution 12 Risk management 10 Theorie 9 Risikomanagement 8 Risikomaß 8 Risk measure 8 Theory 8 pair-copula constructions 7 Pair Copula Construction 6 Pair copula construction 6 Portfolio selection 5 Portfolio-Management 5 ARCH model 4 ARCH-Modell 4 Dependence 4 Estimation 4 Forecasting model 4 Prognoseverfahren 4 Schätzung 4 Vines 4 portfolio optimization 4 Capital income 3 Credit risk 3 GARCH 3 Hierarchical Archimedian 3 KS-copula 3 Kapitaleinkommen 3 Kreditrisiko 3 Pair Copula 3 Pair-copula 3 Pair-copula construction 3 Pair-copula decomposition 3 Product copulas 3 R-vine 3 dependence 3 vine copulas 3 Archimedean and elliptical copulas 2 Bootstrap approach 2 Bootstrap-Verfahren 2
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Online availability
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Undetermined 21 Free 18 CC license 1
Type of publication
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Article 37 Book / Working Paper 5
Type of publication (narrower categories)
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Article in journal 18 Aufsatz in Zeitschrift 18 Article 3 Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
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Language
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English 27 Undetermined 15
Author
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Ceretta, Paulo Sergio 7 Righi, Marcelo Brutti 7 Aas, Kjersti 3 Czado, Claudia 3 Fischer, Matthias 3 Weigert, Florian 3 Chang, Kuo-Chu 2 Dalla Valle, Luciana 2 De Giuli, Maria Elena 2 Fischer, Matthias J. 2 Geidosch, Marco 2 Joe, Harry 2 Köck, Christian 2 Manelli, Claudio 2 Min, Aleksey 2 Schlüter, Stephan 2 Stöber, Jakob 2 Tarantola, Claudia 2 Yu, Jiayang 2 Ababio, Kofi A. 1 Alemany, Ramon 1 Alqahtani, Faisal 1 Arief, Usman 1 Berg, Daniel 1 Bolancé, Catalina 1 Candido, Osvaldo 1 Carvalho, Leonel M. 1 Chakravary, Ranjan R. 1 Chiarella, Carl 1 Ciapessoni, Emanuele 1 Cirio, Diego 1 Doman, Ryszard 1 Eling, Martin 1 Fantazzini, Dean 1 Ghosh, Pulak 1 Hobæk Haff, Ingrid 1 Hong, Hyokyoung Grace 1 Husodo, Zaäfri Ananto 1 Jung, Kwangmin 1 Jung, Yoon-Sung 1
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Institution
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COMISEF 1 Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia 1 Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg 1
Published in...
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Computational Statistics & Data Analysis 4 Applied Econometrics 2 Economics Bulletin 2 Journal of Multivariate Analysis 2 Journal of Risk and Financial Management 2 Journal of risk and financial management : JRFM 2 Algorithmic finance 1 Applied economics 1 Bulletin of monetary economics and banking 1 DEM Working Papers Series 1 Discussion Papers / Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg 1 Diskussionspapier 1 Dynamic Econometric Models 1 Econometrics 1 Econometrics : open access journal 1 Economic Modelling 1 Economic modelling 1 Empirical economics : a quarterly journal of the Institute for Advanced Studies 1 European journal of operational research : EJOR 1 Financial markets and portfolio management 1 IIMB management review 1 Insurance / Mathematics & economics 1 International Review of Financial Analysis 1 International journal of management and decision making : IJMDM 1 International review of financial analysis 1 Journal of econometrics 1 Journal of marketing research : JMR 1 Journal of risk 1 Journal of the New Economic Association 1 Journal of time series econometrics 1 Quantitative Finance 1 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 1 The European Journal of Finance 1 Working Papers / COMISEF 1
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Source
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ECONIS (ZBW) 19 RePEc 19 EconStor 4
Showing 21 - 30 of 42
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Predicting the risk of global portfolios considering the non-linear dependence structures
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Economics Bulletin 32 (2012) 1, pp. 282-294
In this paper we estimated pair copula constructions (PCC) for three sets of markets: developed, Latin emerging and …
Persistent link: https://www.econbiz.de/10009421762
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Analysis of the Tail Dependence Structure in the Global Markets: A Pair Copula Construction Approach
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Economics Bulletin 32 (2012) 2, pp. 1151-1161
In this paper we estimated pair copula constructions (PCC) for three sets of markets: developed, Latin emerging and …
Persistent link: https://www.econbiz.de/10011278727
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Analysis of multidimensional probability distributions with copula functions. II
Fantazzini, Dean - In: Applied Econometrics 23 (2011) 3, pp. 98-132
multidimensional probability distributions. It describes pair-copula functions (including the concept of canonical and D …
Persistent link: https://www.econbiz.de/10009292416
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Default probability estimation via pair copula constructions
Dalla Valle, Luciana; De Giuli, Maria Elena; Tarantola, … - In: European journal of operational research : EJOR 249 (2016) 1, pp. 298-311
Persistent link: https://www.econbiz.de/10011435851
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Asset Pair-Copula Selection with Downside Risk Minimization
Zhang, Jin; Maringer, Dietmar - COMISEF - 2010
-of-fit (GoF) tests which are independent of the particular financial problem. This paper ¯rst proposes a pair-copula-GARCH model …-Clayton copula and the Student t copula as building blocks for the vine pair-copula decomposition. Value at risk, expected shortfall … approaches, the proposed pair-copula-GARCH model provides simulated asset returns for generating future scenarios of portfolio …
Persistent link: https://www.econbiz.de/10008506028
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Modeling the Dependence Structure of the WIG20 Portfolio Using a Pair-copula Construction
Doman, Ryszard - In: Dynamic Econometric Models 10 (2010), pp. 31-42
called the pair-copula decomposition to model the joint conditional distribution of the returns on stocks constituting the …
Persistent link: https://www.econbiz.de/10009001708
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Comorbidity of chronic diseases in the elderly: Patterns identified by a copula design for mixed responses
Stöber, Jakob; Hong, Hyokyoung Grace; Czado, Claudia; … - In: Computational Statistics & Data Analysis 88 (2015) C, pp. 28-39
are continuous. It is based on pair copula constructions (PCCs) and has two major advantages over existing methodology …
Persistent link: https://www.econbiz.de/10011264459
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Nonparametric estimation of pair-copula constructions with the empirical pair-copula
Hobæk Haff, Ingrid; Segers, Johan - In: Computational Statistics & Data Analysis 84 (2015) C, pp. 1-13
A pair-copula construction is a decomposition of a multivariate copula into a structured system, called regular vine …, of bivariate copulae or pair-copulae. The standard practice is to model these pair-copulae parametrically, inducing a … model risk, with errors potentially propagating throughout the vine structure. The empirical pair-copula provides a …
Persistent link: https://www.econbiz.de/10011191018
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Pair copula constructions to determine the dependence structure of Treasury bond yields
Righi, Marcelo Brutti; Schlender, Sergio Guilherme; … - In: IIMB management review 27 (2015) 4, pp. 216-227
Persistent link: https://www.econbiz.de/10011481216
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SCOMDY models based on pair-copula constructions with application to exchange rates
Min, Aleksey; Czado, Claudia - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 523-535
Vine pair-copula constructions (PCCs) provide an important milestone for the usage of multivariate copulas to model …
Persistent link: https://www.econbiz.de/10010776984
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