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A joint survival analysis of hedge funds and funds of funds using copulas
Gregoriou, Greg N.; Pascalau, Razvan - In: Managerial Finance 38 (2011) 1, pp. 82-100
Purpose – The purpose of this paper is to propose that simple measures of linear association are unable to capture accurately the dependence between the survival of hedge funds and funds of funds, respectively. The paper then aims to advocate the use of copulas to model the joint survival of...
Persistent link: https://www.econbiz.de/10014940217
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Unit root tests with smooth breaks : an application to the Nelson-Plosser data set
Pascalau, Razvan - In: Applied economics letters 17 (2010) 4/6, pp. 565-570
Persistent link: https://www.econbiz.de/10003980242
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An empirical analysis of US Dollar-trading newcits
Pascalau, Razvan - In: The journal of wealth management 14 (2011/12) 3, pp. 84-95
Persistent link: https://www.econbiz.de/10009388716
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The Role of TTIP on the Environment
Qirjo, Dhimitri; Pascalau, Razvan - In: Southern Economic Journal 85 (2019) 4, pp. 1262-1285
Persistent link: https://www.econbiz.de/10012085109
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Recruitment of overeducated personnel : insider-outsider effects on fair employee selection practices
Fabel, Oliver (contributor); Pascalau, Razvan (contributor) - 2007
Persistent link: https://www.econbiz.de/10003581995
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Selecting prior year's top fund of hedge funds as this year's choice
Gregoriou, Greg N.; Pascalau, Razvan - In: The journal of wealth management 13 (2010) 2, pp. 61-68
Persistent link: https://www.econbiz.de/10008651223
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Nonlinear financial econometrics : Markov switching models, persistence and nonlinear cointegration
Gregoriou, Greg N. (ed.); Pascalau, Razvan (contributor) - 2011
Persistent link: https://www.econbiz.de/10008654596
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Financial econometrics modeling : market microstructure, factor models and financial risk measures
Gregoriou, Greg N. (ed.); Pascalau, Razvan (contributor) - 2011
Persistent link: https://www.econbiz.de/10008654748
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Unconditional mean, volatility, and the FOURIER-GARCH representation
Pascalau, Razvan; Thomann, Christian; Gregoriou, Greg N. - In: Financial econometrics modeling : derivatives pricing, …, (pp. 90-106). 2011
Persistent link: https://www.econbiz.de/10008988010
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A joint survival analysis of hedge funds and funds of funds using copulas
Gregoriou, Greg N.; Pascalau, Razvan - In: Managerial finance 38 (2012) 1, pp. 82-100
Persistent link: https://www.econbiz.de/10009488349