Narrow search
Showing 1 - 10 of 1,409
Cover Image
Realized copula
Fengler, Matthias R.; Okhrin, Ostap - 2012
We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day high-frequency data. Copula parameters are...
Persistent link: https://www.econbiz.de/10009537332
Cover Image
Frequent Turbulence? A Dynamic Copula Approach
Chollete, Lorán; Heinen, Andréas - 2007
dependence framework. In order to answer the first question we estimate an unconditional mixture model of normal copulas, based … markov model of copulas, which allows for dynamic clustering of correlations. These models permit one to infer the relative …
Persistent link: https://www.econbiz.de/10014052341
Cover Image
Are agribusiness stocks an investor safe haven?
D'Antoni, Jeremy M.; Detre, Joshua Dean - In: Agricultural finance review 74 (2014) 4, pp. 522-538
Persistent link: https://www.econbiz.de/10011305888
Cover Image
Portfolio optimization in the presence of dependent financial returns with long memory : a copula based approach
Boubaker, Heni; Sghaier, Nadia - In: Journal of banking & finance 37 (2013) 2, pp. 361-377
Persistent link: https://www.econbiz.de/10009705653
Cover Image
Global risk evolution and diversification : a Copula-DCC-GARCH model approach
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Revista Brasileira de Finanças : RBFin 10 (2012) 4, pp. 529-550
Persistent link: https://www.econbiz.de/10010412236
Cover Image
Do Islamic indices provide diversification to bitcoin? : a time-varying copulas and value at risk application
Ur Rehman, Mobeen; Asghar, Nadia; Kang, Sang Hoon - In: Pacific-Basin finance journal 61 (2020), pp. 1-26
Persistent link: https://www.econbiz.de/10012494418
Cover Image
Forecasting based on decomposed financial return series : a wavelet analysis
Berger, Theo - In: Journal of forecasting 35 (2016) 5, pp. 419-433
Persistent link: https://www.econbiz.de/10011580976
Cover Image
Estimating value-at-risk using a multivariate copula-based volatility model : evidence from European banks
Sampid, Marius Galabe; Hasim, Haslifah Mohamad - In: International economics : a journal published by CEPII … 156 (2018), pp. 175-192
Persistent link: https://www.econbiz.de/10012027269
Cover Image
Currency price risk and stock market returns in Africa : dependence and downside spillover effects with stochastic copulas
Boako, Gideon; Alagidede, Paul - In: Journal of multinational financial management 41 (2017), pp. 92-114
Persistent link: https://www.econbiz.de/10011927874
Cover Image
Momentum and crash sensitivity
Ruenzi, Stefan; Weigert, Florian - In: Economics letters 165 (2018), pp. 77-81
Persistent link: https://www.econbiz.de/10011973844