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On the structure and estimation of hierarchical archimedian copulas
Okhrin, Ostap; Okhrin, Yarema; Schmid, Wolfgang - 2008
Persistent link: https://www.econbiz.de/10003800392
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Non-parametric estimation of copula parameters : testing for time-varying correlation
Gong, Jinguo; Wu, Weiou; McMillan, David G.; Shi, Daimin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 1, pp. 93-106
Persistent link: https://www.econbiz.de/10011311193
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Exponential series estimation of empirical copulas with application to financial returns
Chui, Chinman; Wu, Ximing - In: Nonparametric econometric methods, (pp. 263-290). 2010
Persistent link: https://www.econbiz.de/10010216413
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Robust portfolio optimization based on semi-parametric ARMA-TGARCH-EVT model with mixed copula using WCVaR
Deng, Xue; Liang, Ying - In: Computational economics 61 (2023) 1, pp. 267-294
Persistent link: https://www.econbiz.de/10014228426
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Portfolio selection using multivariate semiparametric estimators and a copula PCA-based approach
Kouaissah, Noureddine; Ortobelli Lozza, Sergio; … - In: Computational economics 60 (2022) 3, pp. 833-859
Persistent link: https://www.econbiz.de/10013380843
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Modeling international financial returns with a multivariate regime switching copula
Chollete, Loran (contributor); Heinen, Andréas (contributor) - 2008
Persistent link: https://www.econbiz.de/10003726991
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Multivariate Copula Models at Work: Outperforming the "desert island copula"?
Fischer, Matthias; Köck, Christian; Schlüter, Stephan; … - 2007
Since the pioneering work of Embrechts and co-authors in 1999, copula models enjoy steadily increasing popularity in finance. Whereas copulas are well-studied in the bivariate case, the higher-dimensional case still offers several open issues and it is by far not clear how to construct copulas...
Persistent link: https://www.econbiz.de/10003903663
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Modeling international financial returns with a multivariate regime-switching copula
Chollete, Lorán; Heinen, Andréas; Valdesogo, Alfonso - In: Journal of financial econometrics : official journal of … 7 (2009) 4, pp. 437-480
Persistent link: https://www.econbiz.de/10003907528
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Modelling international financial returns with a multivariate regime switching copula
Chollete, Lorán (contributor); Heinen, Andreas (contributor) - 2008
Persistent link: https://www.econbiz.de/10003691359
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Modeling international financial returns with a multivariate regime switching copula
Chollete, Loran; Heinen, Andréas; Valdesogo, Alfonso - 2008
Persistent link: https://www.econbiz.de/10003702731