multivariate distributions. Our extensive simulation studies investigate the small sample properties of these models and examine …

of the parametric assumptions. But simulation results obtained for the half normal model indicate that a method of … not strongly dominating noise (Coelli, 1995). In this paper we provide detailed simulation results comparing the two … estimation approaches for both the half-normal and the exponential approach to inefficiency. Based on the simulation results we …

simulation study is then conducted to ascertain the performance of the estimation method. …

institutions. By means of a simulation study, we explore the hypothesis that differences in the correlation estimates are due to a …

Carlo simulation.Further, we study the daily returns of stocks contained in the German stock index DAX 30. We find some …

It is well known that the arithmetic mean of two possibly different copulas forms a copula, again. More general, we … focus on the weighted power mean (WPM) of two arbitrary copulas which is not necessary a copula again, as different … that a proper copula (so-called WPM copula) results. In this case, we also derive dependence properties of WPM copulas and …

approaches require less stringent distributional hypotheses. As shown by Smith (2003), copulas allow great flexibility also in …

), CreditMetrics, KMV) still rely on Gaussian copulas. This paper complements the finance literature providing new insights into the … impact of different copulas in stress test applications using supervisory data of 17 large German banks. Our findings imply … high stress effects under extreme scenarios. Heavy-tailed copulas like the Clayton or the t copula are recommended in the …

Using copula methods and simulation-based inference the authors address the association between the performance of the …