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Model uncertainty and VaR aggregation
Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger - In: Journal of banking & finance 37 (2013) 8, pp. 2750-2764
Persistent link: https://www.econbiz.de/10009776377
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Mathematical risk analysis : dependence, risk bounds, optimal allocations and portfolios
Rüschendorf, Ludger - 2013
Persistent link: https://www.econbiz.de/10009729189
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Linear correlation and EVT : properties and caveats
Embrechts, Paul - In: Journal of financial econometrics : official journal of … 7 (2009) 1, pp. 30-39
Persistent link: https://www.econbiz.de/10003825739
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Copulas : a personal view
Embrechts, Paul - In: The journal of risk and insurance : the journal of the … 76 (2009) 3, pp. 639-650
Persistent link: https://www.econbiz.de/10003877764
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Composite Bernstein copulas
Yang, Jingping; Chen, Zhijin; Wang, Fang; Wang, Ruodu - In: Astin bulletin : the journal of the International … 45 (2015) 2, pp. 445-475
Persistent link: https://www.econbiz.de/10011312277
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A class of multivariate copulas with bivariate Fréchet marginal copulas
Yang, Jingping; Qi, Yongcheng; Wang, Ruodu - In: Insurance / Mathematics & economics 45 (2009) 1, pp. 139-147
Persistent link: https://www.econbiz.de/10009517588
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Invariant correlation under marginal transforms
Koike, Takaaki; Lin, Liyuan; Wang, Ruodu - 2024
Persistent link: https://www.econbiz.de/10015073822
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Testing for structural changes in exchange rates' dependence beyond linear correlation
Dias, Alexandra; Embrechts, Paul - In: The European journal of finance 15 (2009) 7/8, pp. 619-637
Persistent link: https://www.econbiz.de/10003924421
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Modeling exchange rate dependence dynamics at different time horizons
Dias, Alexandra; Embrechts, Paul - In: Journal of international money and finance 29 (2010) 8, pp. 1687-1705
Persistent link: https://www.econbiz.de/10009239631
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Quantitative risk management : concepts, techniques and tools
McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul - 2005
Persistent link: https://www.econbiz.de/10002934295