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Industry co-movements of American depository receipts : evidences from the copula approaches
Lee, Chien-chiang; Chang, Chi-Hung; Chen, Mei-Ping - In: Economic modelling 46 (2015), pp. 301-314
Persistent link: https://www.econbiz.de/10011436620
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Asset dependency structures and portfolio insurance strategies
Mantilla-Garcia, Daniel; Horst, Enrique ter; Audeguil, … - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10012652614
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Risk aggregation and capital allocation using a new generalized Archimedean copula
Marri, Fouad; Moutanabbir, Khouzeima - In: Insurance / Mathematics & economics 102 (2022), pp. 75-90
Persistent link: https://www.econbiz.de/10013271960
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Analysing dynamic dependence between gold and stock returns : evidence using stochastic and full-range tail dependence copula models
Boako, Gideon; Tiwari, Aviral Kumar; Ibrahim, Muazu; … - In: Finance research letters 31 (2019), pp. 391-397
Persistent link: https://www.econbiz.de/10012421744
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Modeling dependence in high dimensions with factor copulas
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 139-154
Persistent link: https://www.econbiz.de/10011704143
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Collective risk models with dependence
Cossette, Hélène; Marceau, Etienne; Mtalai, Itre - In: Insurance / Mathematics & economics 87 (2019), pp. 153-168
Persistent link: https://www.econbiz.de/10012058960
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Sensitivity analysis of decision making under dependent uncertainties using copulas
Wang, Tianyang; Dyer, James S.; Hahn, Warren J. - In: EURO Journal on decision processes 5 (2017) 1/4, pp. 117-139
Persistent link: https://www.econbiz.de/10011777820
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Industry co-movements of American depository receipts: Evidences from the copula approaches
Lee, Chien-Chiang; Chang, Chi-Hung; Chen, Mei-Ping - In: Economic Modelling 46 (2015) C, pp. 301-314
This paper applies the distinct copula model specifications with time-invariant and time-varying dependence structures …
Persistent link: https://www.econbiz.de/10011208948
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Effectiveness of copula-extreme value theory in estimating value-at-risk: empirical evidence from Asian emerging markets
Hsu, Chun-Pin; Huang, Chin-Wen; Chiou, Wan-Jiun - In: Review of Quantitative Finance and Accounting 39 (2012) 4, pp. 447-468
) and various copulas to build joint distributions of returns. A backtesting analysis using a Monte Carlo VaR simulation … that in general the copulas with the EVT provide better estimations of VaRs than the copulas with conventionally employed …
Persistent link: https://www.econbiz.de/10010867672
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Currency price risk and stock market returns in Africa : dependence and downside spillover effects with stochastic copulas
Boako, Gideon; Alagidede, Paul - In: Journal of multinational financial management 41 (2017), pp. 92-114
Persistent link: https://www.econbiz.de/10011927874