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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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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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Reducing risk in the emerging markets : does enhancing corporate governance work?
Sayari, Naz; Marcum, Bill - In: Business research quarterly : BRQ 21 (2018) 2, pp. 124-139
Persistent link: https://www.econbiz.de/10011989534
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Short selling of ADRs and foreign market short-sale constraints
Blau, Benjamin M.; Ness, Robert A. Van; Warr, Richard S. - In: Journal of Banking & Finance 36 (2012) 3, pp. 886-897
We examine the effect of home market short-sale constraints on securities that also trade in other countries that have more liberal short-sale rules. In particular, we focus on the case of ADRs traded in the US, as in some cases, the home markets of these ADRs prohibit short selling. We find...
Persistent link: https://www.econbiz.de/10010577968