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Small sample properties of Copula-GARCH modelling : a Monte Carlo study
Bianchi, Carluccio; De Giuli, Maria Elena; Fantazzini, Dean - 2009
multivariate distributions. Our extensive simulation studies investigate the small sample properties of these models and examine …
Persistent link: https://www.econbiz.de/10010259914
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A note on the Cogley-Nason-Sims approach
Hussain, Syed M.; Liu, Lin - In: Economics letters 146 (2016), pp. 77-81
Persistent link: https://www.econbiz.de/10011619103
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Mutual fund selection for realistically short samples
Christiansen, Charlotte; Grønborg, Niels S.; Nielsen, … - In: Journal of empirical finance 55 (2020), pp. 218-240
Persistent link: https://www.econbiz.de/10012175756
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Estimating the structural credit risk model when equity prices are contaminated by trading noises
Duan, Jin-Chuan; Fulop, Andras - 2005
simulation study is then conducted to ascertain the performance of the estimation method. …
Persistent link: https://www.econbiz.de/10011560691
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Optimal CAR simulation
Chakroun, Fatma; Abid, Fathi - In: International journal of financial engineering 2 (2015) 4, pp. 1-31
Persistent link: https://www.econbiz.de/10011493106
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Tail dependence of financial stocks and CDS markets : evidence using copula methods and simulation-based inference
Silva, Paulo Pereira da; Rebelo, Paulo Tomaz; Afonso, … - 2014
Using copula methods and simulation-based inference, the authors investigate the association between the performance of …
Persistent link: https://www.econbiz.de/10010429997
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Perspective of an exchange rate policy for global financial systems : evidence between China and ASEAN countries
Chukiat Chaiboonsri; Satawat Wannapan; Nisit Pantamit - In: International journal of computational economics and … 12 (2022) 1/2, pp. 29-51
Persistent link: https://www.econbiz.de/10012939565
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Tail dependence of financial stocks and CDS markets : evidence using copula methods and simulation-based inference
Silva, Paulo Pereira da; Rebelo, Paulo Tomaz; Afonso, … - 2013
Using copula methods and simulation-based inference the authors address the association between the performance of the …
Persistent link: https://www.econbiz.de/10010187546
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Identifying mixture copula components using outlier detection methods and goodness-of-fit tests
Weiß, Gregor - In: Journal of risk 16 (2013/2014) 4, pp. 61-101
Persistent link: https://www.econbiz.de/10013262930
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A comparison of tail dependence estimators
Supper, Hendrik; Irresberger, Felix; Weiß, Gregor - In: European journal of operational research : EJOR 284 (2020) 2, pp. 728-742
Persistent link: https://www.econbiz.de/10012238789