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Nonparametric copula estimation for mixed insurance claim data

Yang, Lu - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 537-546

Persistent link: https://www.econbiz.de/10013533451

Dependence structure among international stock markets : a GARCH–copula analysis

Yang, Lu; Hamori, Shigeyuki - In: Applied financial economics 23 (2013) 22/24, pp. 1805-1817

Persistent link: https://www.econbiz.de/10010337261

Multivariate frequency-severity regression models in insurance

Frees, Edward W.; Lee, Gee; Yang, Lu - In: Risks : open access journal 4 (2016) 1, pp. 1-36

In insurance and related industries including healthcare, it is common to have several outcome measures that the analyst wishes to understand using explanatory variables. For example, in automobile insurance, an accident may result in payments for damage to one's own vehicle, damage to another...

Persistent link: https://www.econbiz.de/10011443697

Dependence structure between CEEC-3 and German government securities markets

Yang, Lu; Hamori, Shigeyuki - In: Journal of international financial markets, … 29 (2014), pp. 109-125

Persistent link: https://www.econbiz.de/10010411545

Modeling dependence structures among international stock markets : evidence from hierarchical Archimedean copulas

Yang, Lu; Cai, Xiao Jing; Mengling Li; Hamori, Shigeyuki - In: Economic modelling 51 (2015), pp. 308-314

Persistent link: https://www.econbiz.de/10011476020

Gold prices and exchange rates : a time-varying copula analysis

Yang, Lu; Hamori, Shigeyuki - In: Applied financial economics 24 (2014) 1/3, pp. 41-50

Persistent link: https://www.econbiz.de/10010389374

Dependence structures and risk spillover in China's credit bond market : a copula and CoVaR approach

Yang, Lu; Yang, Lei; Ho, Kung-Cheng; Hamori, Shigeyuki - In: Journal of Asian economics 68 (2020)

Persistent link: https://www.econbiz.de/10012513082

Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries

Yang, Lu; Yang, Lei; Hamori, Shigeyuki - In: International review of financial analysis 59 (2018), pp. 19-34

Persistent link: https://www.econbiz.de/10012006896

Modeling cause-of-death mortality using hierarchical Archimedean copula

Li, Hong; Lu, Yang - In: Scandinavian actuarial journal 2019 (2019) 3, pp. 247-272

Persistent link: https://www.econbiz.de/10012194949

A flexible state-space model with application to stochastic volatility

Gouriéroux, Christian; Lu, Yang - 2016

Persistent link: https://www.econbiz.de/10012196330