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Extremal dependence of copulas...
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Journal of banking & finance
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1
Contagion and tail risk in complex financial networks
Abduraimova, Kumushoy
- In:
Journal of banking & finance
143
(
2022
),
pp. 1-27
Persistent link: https://www.econbiz.de/10013530779
Saved in:
2
Flexible dependence modeling of operational risk losses and its impact on total capital requirements
Brechmann, Eike
;
Czado, Claudia
;
Paterlini, Sandra
- In:
Journal of banking & finance
40
(
2014
),
pp. 271-270
Persistent link: https://www.econbiz.de/10010402193
Saved in:
3
Canonical vine copulas in the context of modern portfolio management : are they worth it?
Low, Rand Kwong Yew
;
Alcock, Jamie
;
Faff, Robert W.
; …
- In:
Journal of banking & finance
37
(
2013
)
8
,
pp. 3085-3099
Persistent link: https://www.econbiz.de/10009777123
Saved in:
4
Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
Siburg, Karl Friedrich
;
Stoimenov, Pavel
;
Weiß, Gregor
- In:
Journal of banking & finance
54
(
2015
),
pp. 129-140
Persistent link: https://www.econbiz.de/10011377805
Saved in:
5
A revisit to the dependence structure between the stock and foreign exchange markets : a dependence-switching copula approach
Wang, Yi-chiuan
;
Wu, Yyh-lin
;
Lai, Yi-hao
- In:
Journal of banking & finance
37
(
2013
)
5
,
pp. 1706-1719
Persistent link: https://www.econbiz.de/10009729473
Saved in:
6
Portfolio selection : an extreme value approach
DiTraglia, Francis J.
;
Gerlach, Jeffrey R.
- In:
Journal of banking & finance
37
(
2013
)
2
,
pp. 305-323
Persistent link: https://www.econbiz.de/10009705699
Saved in:
7
The structure and degree of dependence : a quantile regression approach
Baur, Dirk G.
- In:
Journal of banking & finance
37
(
2013
)
3
,
pp. 786-798
Persistent link: https://www.econbiz.de/10009708741
Saved in:
8
A new approach to assessing model risk in high dimensions
Bernard, Carole
;
Vanduffel, Steven
- In:
Journal of banking & finance
58
(
2015
),
pp. 166-178
Persistent link: https://www.econbiz.de/10011543968
Saved in:
9
Asymmetric increasing trends in dependence in international equity markets
Okimoto, Tatsuyoshi
- In:
Journal of banking & finance
46
(
2014
),
pp. 219-232
Persistent link: https://www.econbiz.de/10010467819
Saved in:
10
When does the stock market listen to economic news? : new evidence from copulas and news wires
Medovikov, Ivan
- In:
Journal of banking & finance
65
(
2016
),
pp. 27-40
Persistent link: https://www.econbiz.de/10011634320
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