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Measuring systemic risk with a dynamic copula-based approach
Jang, Hyun Jin; Pan, Xiao; Park, Sumin - In: Applied economics 53 (2021) 50, pp. 5843-5863
Persistent link: https://www.econbiz.de/10012627102
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Global financial crisis and dependence risk analysis of sector portfolios : a vine copula approach
Hernandez, Jose Arreola; Hammoudeh, Shawkat; Nguyen, … - In: Applied economics 49 (2017) 25, pp. 2409-2427
Persistent link: https://www.econbiz.de/10011819424
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Flexible modelling of multivariate risks in pricing margin protection insurance : modelling portfolio risks with mixtures of mixtures
Moosavian, Seyyed Ali Zeytoon Nejad; Goodwin, Barry K. - In: Applied economics 53 (2021) 4, pp. 411-440
Persistent link: https://www.econbiz.de/10012416054
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Portfolio selection through Maslow's need hierarchy theory
Li, Zongxin; Chen, Zhiping; Hui, Yongchang - In: Applied economics 51 (2019) 4, pp. 364-372
Persistent link: https://www.econbiz.de/10012160546
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Tail dependence and diversification benefits in emerging market stocks : an extreme value theory approach
Ergen, Ibrahim - In: Applied economics 46 (2014) 19/21, pp. 2215-2227
Persistent link: https://www.econbiz.de/10010417299
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Diamonds and precious metals for reduction of portfolio tail risk
Barbi, Massimiliano; Geman, Hélyette; Romagnoli, Silvia - In: Applied economics 52 (2020) 26, pp. 2841-2861
Persistent link: https://www.econbiz.de/10012221456
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Tail dependence analysis of stock markets using extreme value theory
Singh, Abhay Kumar; Allen, David E.; Powell, Robert - In: Applied economics 49 (2017) 45, pp. 4588-4599
Persistent link: https://www.econbiz.de/10011844236
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Equity market neutral hedge funds and the stock market : an application of score-driven copula models
Ayala, Astrid; Blazsek, Szabolcs - In: Applied economics 50 (2018) 37, pp. 4005-4023
Persistent link: https://www.econbiz.de/10012060246
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Portfolio management with tail dependence
Bergmann, Daniel Reed; Savoia, José Roberto Ferreira; … - In: Applied economics 50 (2018) 51, pp. 5510-5520
Persistent link: https://www.econbiz.de/10012062255
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Non-linear dependence modelling with bivariate copulas : statistical arbitrage pairs trading on the S&P 100
Krauss, Christopher; Stübinger, Johannes - In: Applied economics 49 (2017) 52, pp. 5352-5369
Persistent link: https://www.econbiz.de/10011845139