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ECONIS (ZBW)
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1
On the isolated impact of copulas on risk measurement : asimulation study
Berger, Theo
- In:
Economic modelling
58
(
2016
),
pp. 475-481
Persistent link: https://www.econbiz.de/10011647502
Saved in:
2
Measuring financial market risk contagion using dynamic MRS-Copula models : the case of Chinese and other international stock markets
Changqing, Luo
;
Chi, Xie
;
Cong, Yu
;
Yan, Xu
- In:
Economic modelling
51
(
2015
),
pp. 657-671
Persistent link: https://www.econbiz.de/10011476241
Saved in:
3
Translating financial integration into
correlation
risk : a weekly reporting's viewpoint for the volatility behavior of stock markets
Gatfaoui, Hayette
- In:
Economic modelling
30
(
2013
),
pp. 776-791
Persistent link: https://www.econbiz.de/10009708799
Saved in:
4
Measuring systemic risk using vine-copula
Pourkhanali, Armin
;
Kim, Jong-Min
;
Tafakori, Laleh
; …
- In:
Economic modelling
53
(
2016
),
pp. 63-74
Persistent link: https://www.econbiz.de/10011640962
Saved in:
5
Stress-testing for portfolios of commodity futures
Paraschiv, Florentina
;
Mudry, Pierre-Antoine
;
Andrieş, …
- In:
Economic modelling
50
(
2015
),
pp. 9-18
Persistent link: https://www.econbiz.de/10011439604
Saved in:
6
A semiparametric approach to value-at-risk, expected shortfall and optimum asset allocation in stock-bond portfolios
Chen, Xiangjin B.
;
Silvapulle, Paramsothy
;
Silvapulle, …
- In:
Economic modelling
42
(
2014
),
pp. 230-242
Persistent link: https://www.econbiz.de/10010478162
Saved in:
7
Robust portfolio selection with regime switching and asymmetric dependence
Su, Xiaoshan
;
Bai, Manying
;
Han, Yingwei
- In:
Economic modelling
99
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012795788
Saved in:
8
Testing the Gaussian and Student's t copulas in a risk management framework
Lourme, Alexandre
;
Maurer, Frantz
- In:
Economic modelling
67
(
2017
),
pp. 203-214
Persistent link: https://www.econbiz.de/10011813813
Saved in:
9
Robust portfolio selection with subjective risk aversion under dependence uncertainty
Su, Xiaoshan
- In:
Economic modelling
132
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014547968
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10
Modelling VaR for foreign-asset portfolios in continuous time
Chen, Fen-ying
;
Liao, Szu-Lang
- In:
Economic modelling
26
(
2009
)
1
,
pp. 234-240
Persistent link: https://www.econbiz.de/10003817081
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