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A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets

Pircalabu, Anca; Benth, Fred Espen - In: Energy economics 68 (2017), pp. 283-302

Persistent link: https://www.econbiz.de/10011905725

Time varying adaptive copulae and dynamic semiparametric factor models with applications in finance

Giacomini, Enzo - 2009

Persistent link: https://www.econbiz.de/10003931427

Modellierung diskreter Variablen mittels Copulas : eine simulative und empirische Untersuchung am Beispiel der Marktforschung

Meinel, Nina - 2009 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003879307

Multivariate skewed student’s t copula in the analysis of nonlinear and asymmetric dependence in the German equity market

Sun, Wei; Račev, Svetlozar T.; Stojanov, Stojan Dimitrov; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 12 (2008) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10009513633

The distribution of realized variances : marginal behaviors, asymmetric dependence and contagion effects

Ané, Thierry; Métais, Carole - In: International review of financial analysis 18 (2009) 3, pp. 134-150

Persistent link: https://www.econbiz.de/10003880027

The truncated multivariate normal distribution in finance and econometrics

Wilhelm, Stefan - 2014

Persistent link: https://www.econbiz.de/10010438565

On the systemic nature of weather risk

Filler, Guenther; Odening, Martin; Okhrin, Ostap - 2009

Systemic weather risk is a major obstacle for the formation of private (non- subsidized) crop insurance. This paper explores the possibility of spatial diversification of insurance by estimating the joint occurrence of unfavorable weather conditions in different locations. For that purpose...

Persistent link: https://www.econbiz.de/10003796148

Measuring volatility and tail dependence of risk factors : an entropy-based perspective on the German stock market

Kharlamov, Georgy - 2012

Persistent link: https://www.econbiz.de/10009737049

Spatial dependence in wind and optimal wind power allocation : a copula based analysis

Grothe, Oliver; Schnieders, Julius - 2011

. Using copula theory we determine the value at risk of energy production for given allocation sets of wind farms and derive …

Persistent link: https://www.econbiz.de/10009742697

Dependence structure between the equity market and the foreign exchange market : a copula approach

Ning, Cathy Q. - In: Journal of international money and finance 29 (2010) 5, pp. 743-759

Persistent link: https://www.econbiz.de/10003989912

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