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  • Search: subject:"copula function"
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Year of publication
Subject
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Multivariate distribution 2,576 Multivariate Verteilung 2,575 Theorie 1,365 Theory 1,365 Risikomaß 514 Risk measure 513 Statistical distribution 504 Statistische Verteilung 504 Portfolio selection 481 Portfolio-Management 481 Risikomanagement 412 Risk management 405 Capital income 397 Kapitaleinkommen 397 Zeitreihenanalyse 389 Time series analysis 387 Volatility 334 Volatilität 334 ARCH model 327 ARCH-Modell 327 Estimation 306 Schätzung 305 Copula 304 Estimation theory 297 Schätztheorie 297 Kreditrisiko 249 Credit risk 246 Risk 245 Risiko 244 Börsenkurs 242 Share price 242 Aktienmarkt 219 Stock market 219 Correlation 194 Korrelation 194 Welt 194 World 194 Finanzkrise 193 Multivariate Analyse 193 Financial crisis 191
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Online availability
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Undetermined 955 Free 913 CC license 92
Type of publication
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Article 1,703 Book / Working Paper 910
Type of publication (narrower categories)
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Article in journal 1,562 Aufsatz in Zeitschrift 1,562 Graue Literatur 411 Non-commercial literature 411 Arbeitspapier 395 Working Paper 395 Aufsatz im Buch 97 Book section 97 Hochschulschrift 71 Thesis 52 Collection of articles of several authors 15 Sammelwerk 15 Collection of articles written by one author 12 Sammlung 12 Conference paper 11 Konferenzbeitrag 11 Aufsatzsammlung 5 Article 4 Konferenzschrift 4 research-article 4 Conference proceedings 3 Mikroform 3 Amtsdruckschrift 2 Government document 2 Lehrbuch 2 Systematic review 2 Textbook 2 Übersichtsarbeit 2 Bibliografie 1 Bibliografie enthalten 1 Bibliography included 1 Festschrift 1 Rezension 1
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Language
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English 2,557 German 31 Undetermined 25 Czech 1 French 1
Author
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Okhrin, Ostap 43 Härdle, Wolfgang 25 Lucas, André 25 Smith, Michael S. 22 Tiwari, Aviral Kumar 22 Weiß, Gregor 21 Patton, Andrew J. 19 Reboredo, Juan Carlos 19 Einmahl, John H. J. 17 Kim, Jong-Min 17 Manner, Hans 17 Segers, Johan 17 Czado, Claudia 16 Ning, Cathy Q. 16 Hammoudeh, Shawkat 15 Hamori, Shigeyuki 15 Koopman, Siem Jan 15 Prokhorov, Artem 15 Zimmer, David M. 15 Chen, Xiaohong 14 Fermanian, Jean-David 14 Ghorbel, Ahmed 14 Songsak Sriboonchitta 14 Anatolyev, Stanislav 13 Fischer, Matthias 13 Romagnoli, Silvia 13 Dijk, Dick van 12 Fantazzini, Dean 12 Oh, Dong Hwan 12 Bouri, Elie 11 Cherubini, Umberto 11 Embrechts, Paul 11 Heinen, Andréas 11 Ji, Qiang 11 Nguyen, Duc Khuong 11 Okhrin, Yarema 11 Shi, Peng 11 Trivedi, Pravin K. 11 Uddin, Mohammed Gazi Salah 11 Weigert, Florian 11
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Institution
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National Bureau of Economic Research 4 Bergische Universität Wuppertal 2 Center for Economic Research <Tilburg> 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Centre for Economic Performance, LSE 1 Economics, Markets, Institutions, IMT Lucca Institute for Advanced Studies 1 Faculty of Economics, University of Cambridge 1 Friedrich-Schiller-Universität Jena 1 Institut für Future Energy Consumer Needs and Behavior (FCN), E.ON Energy Research Center 1 International Center for Financial Asset Management and Engineering 1 International Monetary Fund 1 Society for the Study of Economic Inequality - ECINEQ 1 Springer International Publishing 1 Thailand Econometric Society 1 Universiteit Antwerpen / Faculteit Toegepaste Economische Wetenschappen 1 University of California Davis / Department of Economics 1 Universität Bremen 1 Université Paris-Dauphine (Paris IX) 1 Uniwersytet Warszawski / Wydział Nauk Ekonomicznych 1 Workshop "Copulae in Mathematical and Quantitative Finance" <2012, Krakau> 1 Wydział Nauk Ekonomicznych, Uniwersytet Warszawski 1
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Published in...
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Insurance / Mathematics & economics 100 Energy economics 57 Applied economics 45 Economic modelling 40 Risks : open access journal 40 European journal of operational research : EJOR 38 International review of financial analysis 34 Journal of banking & finance 32 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 32 The North American journal of economics and finance : a journal of financial economics studies 32 Finance research letters 29 Journal of econometrics 29 SFB 649 discussion paper 27 Journal of risk and financial management : JRFM 24 Discussion paper / Tinbergen Institute 23 Journal of risk 22 The European journal of finance 22 Computational economics 18 International review of economics & finance : IREF 18 Discussion paper / Center for Economic Research, Tilburg University 16 International journal of theoretical and applied finance 16 Journal of empirical finance 16 Research in international business and finance 16 Applied economics letters 15 Economics letters 15 Econometric reviews 14 Journal of international financial markets, institutions & money 14 International journal of forecasting 13 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 13 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 13 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 12 Scandinavian actuarial journal 12 Journal of financial econometrics : official journal of the Society for Financial Econometrics 11 Discussion paper 10 Quantitative finance 10 The journal of credit risk : published quarterly by Incisive Media 10 The journal of futures markets 10 Astin bulletin : the journal of the International Actuarial Association 9 Diskussionspapiere / Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie 9 Econometric theory 9
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Source
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ECONIS (ZBW) 2,576 RePEc 28 Other ZBW resources 5 EconStor 4
Showing 121 - 130 of 2,613
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Modeling portfolio credit risk taking into account the default correlations using a copula approach : implementation to an Italian loan portfolio
Di Clemente, Annalisa - In: Journal of risk and financial management : JRFM 13 (2020) 6/129, pp. 1-23
This work aims to illustrate an advanced quantitative methodology for measuring the credit risk of a loan portfolio allowing for diversification effects. Also, this methodology can allocate the credit capital coherently to each counterparty in the portfolio. The analytical approach used for...
Persistent link: https://www.econbiz.de/10012309082
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Volatility and dependence in crude oil and agricultural commodity markets
Liu, Jinan; Serletis, Apostolos - In: Applied economics 57 (2025) 12, pp. 1314-1325
Persistent link: https://www.econbiz.de/10015331686
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Two-Tier Stochastic Frontier Analysis for the Social Sciences
Papadopoulos, Alecos; Parmeter, Christopher F. - 2025
Concepts and Metrics -- Introduction -- Metrics for the Latent Effects -- II Models and Applications -- Incomplete Information -- Bargaining -- A Jamboree of Latent Forces -- Binary Responses and Treatment Effects -- III Tools for Estimation and Inference -- Estimation Methods and Statistical...
Persistent link: https://www.econbiz.de/10015373561
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Correcting Endogeneity via Instrument-Free Two-Stage Nonparametric Copula Control Functions
Hu, Xixi; Qian, Yi; Xie, Hui - National Bureau of Economic Research - 2025
Given the ubiquitous presence of endogenous regressors and the challenges in finding good instruments to overcome the endogeneity problem, a forefront of recent research is the development and application of endogeneity correction methods without requiring instruments. In this article, we...
Persistent link: https://www.econbiz.de/10015361483
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Risk measures and dependence modeling
Embrechts, Paul; Hofert, Marius - In: Handbook of Insurance : Volume II, (pp. 95-126). 2025
Persistent link: https://www.econbiz.de/10015394058
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Modeling dependence structure between Green Sukuk spread in Malaysia and the uncertainty factors before and during the COVID-19 pandemic
Hariz, Fatma; Mezghani, Taicir; Abbes, Mouna Boujelbène - In: Journal of Islamic accounting and business research 16 (2025) 5, pp. 950-975
Persistent link: https://www.econbiz.de/10015414775
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Multi-scale dependence and risk contagion among international financial markets based on VMD-Vine copula-CoVaR
Wang, Jia; Yan, Xinzhu; Cao, Yuan; Wang, Xu - In: Applied economics 57 (2025) 6, pp. 658-677
Persistent link: https://www.econbiz.de/10015192442
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Measuring Interdependence of Inflation Uncertainty
Lee, Seohyun - 2022
The unprecedented fiscal and monetary policy responses during the COVID-19 crisis have increased uncertainty about inflation. During crises periods, the strength of the transmission of inflation uncertainty shocks from one country to another tends to intensify. This paper examines empirical...
Persistent link: https://www.econbiz.de/10014078814
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A Flexible Copula Regression Model with Bernoulli and Tweedie Margins for Estimating the Effect of Spending on Mental Health
Marra, Giampiero; Fasiolo, Matteo; Radice, Rosalba; … - 2022
Previous evidence shows that better insurance coverage increases medical expenditure. However, formal studies on the effect of spending on health outcomes, and especially mental health, are lacking. To fill this gap, we reanalyze data from the Rand Health Insurance Experiment and estimate a...
Persistent link: https://www.econbiz.de/10014084433
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South African banks' cross-border systemic risk exposure : an application of the gas copula marginal expected shortfall
Manguzvane, Mathias Mandla; Muteba Mwamba, John - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-19
Systemic susceptibility highlights the extent to which a banking sector is sensitive to negative shocks. Policymakers and regulators' objective is to avoid financial crises, and even though they can somewhat control local conditions, internationally transmitted crises are difficult to tackle....
Persistent link: https://www.econbiz.de/10013040986
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