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Analysis of dependence between the random components of a stochastic production function for the purpose of technical efficiency estimation

Aivazian, Sergey Arutyunovich; Afanasiev, Mikhail; … - In: Applied Econometrics 34 (2014) 2, pp. 3-18

describe the dependence between the error components by a copula. For parameters estimation in the econometric model in case of … dependent error components the analytical expressions for log-likelihood function and its derivatives are given. The results of …

Persistent link: https://www.econbiz.de/10010937054

Analysis of multidimensional probability distributions with copula functions. III

Fantazzini, Dean - In: Applied Econometrics 24 (2011) 4, pp. 100-130

The final part of the consultation series on copula functions is devoted to the description of copula selection methods … to choose the copula model that provides the best fit for the empirical data at hand, as well as to the description of … copula evaluation methods by using goodness-of-fit tests. …

Persistent link: https://www.econbiz.de/10010841018

Basics of copula’s theory

Blagoveschensky, Yury - In: Applied Econometrics 26 (2012) 2, pp. 113-130

The most important properties of p-variate distributions on the hypercube whose univariate marginals are uniformly distributed on [0; 1] are discussed. These distributions, also called p-copulas, have become a popular tool in order to study financial markets, macroeconomics and other fields. The...

Persistent link: https://www.econbiz.de/10010841020

A copula-based approach to portfolio credit risk modeling

Bologov, Bologov , Yaroslav - In: Applied Econometrics 29 (2013) 1, pp. 45-66

Considering correlations between entries of credit portfolio is an important objective when estimating credit risk. This paper aims to construct a multivariate model of credit losses examining a portfolio composed of loans to a set of kinds of business. The paper also introduces the method of...

Persistent link: https://www.econbiz.de/10010841041

Econometric Analysis of Financial Data in Risk Management (continuation). Section III: Managing Operational Risk

Fantazzini, Dean - In: Applied Econometrics 11 (2008) 3, pp. 87-122

We continue publishing the four-part consultation of professor of Moscow School of Economics of Lomonosov MSU Dean Fantazzini. The first part, that appeared in 2 (10), 2008 of the journal, dealt with the introduction to the problem (section one: basic concepts and types of financial risks,...

Persistent link: https://www.econbiz.de/10009190191

Detection of Structural Breaks in Copula Models

Brodsky, Boris; Penikas, Henry; Safaryan, Irina - In: Applied Econometrics 16 (2009) 4, pp. 3-15

The paper presents the research results on detection of structural breaks in copula models of multivariate time …

Persistent link: https://www.econbiz.de/10009018538

Interest Rate Risk Management Based on Copula-GARCH Models

Penikas, Henry; Simakova, Varvara - In: Applied Econometrics 13 (2009) 1, pp. 3-36

The paper is aimed at making comparative analysis of main market risk features based on the copula-modeling and on the … is used for practical implementation of the introduced methodology when dealing with copulas.Copula application makes it …

Persistent link: https://www.econbiz.de/10009018558

Copula-Based Price Risk Hedging Models

Penikas, Henry - In: Applied Econometrics 22 (2011) 2, pp. 3-21

The article deals with the issue of copula use in the program of market risk hedging. Copula-models performance is … compared to the OLS-based ones. Fully parametric and semi-parametric approaches to copula-modeling are investigated. The copula …-the-less, it is shown that copula-based approaches are able to outperform OLS-based ones only for direct hedging programs, while …

Persistent link: https://www.econbiz.de/10009131085

Analysis of multidimensional probability distributions with copula functions

Fantazzini, Dean - In: Applied Econometrics 22 (2011) 2, pp. 98-134

Problems which are related to copula functions, their properties, selection methods for specific baseline data … reflect the specific features of the available data. There are grounds to argue that models which are based on copula …

Persistent link: https://www.econbiz.de/10009140905

Investment portfolio risk modelling based on hierarchical copulas

Penikas, Henry - In: Applied Econometrics 35 (2014) 3, pp. 18-38

Paper is devoted to comparison of various copula models application to investment portfolio risk measurement … as expected shortfall (ES) and Value-at-Risk (VaR). Statistically justified approach to hierarchical copula definition is …

Persistent link: https://www.econbiz.de/10011186461