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Modelling the bivariate dependence structure of exchange rates before and after the introduction of the Euro : a semi-parametric approach
Boero, Gianna; Silvapulle, Paramsothy; Tursunalieva, Ainura - In: International journal of finance & economics : IJFE 16 (2011) 4, pp. 357-374
Persistent link: https://www.econbiz.de/10009508876
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Paths and indices of maximal tail dependence
Furman, Edward; Su, Jianxi; Zitikis, Ričardas - In: Astin bulletin : the journal of the International … 45 (2015) 3, pp. 661-678
Persistent link: https://www.econbiz.de/10011397592
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Interval estimation for a measure of tail dependence
Liu, Aiai; Hou, Yanxi; Peng, Liang - In: Insurance / Mathematics & economics 64 (2015), pp. 294-305
Persistent link: https://www.econbiz.de/10011398079
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Modeling spot price dependence in Australian electricity markets with applications to risk management
Ignatieva, Ekaterina; Trück, Stefan - In: Computers & operations research : and their … 66 (2016), pp. 415-433
Persistent link: https://www.econbiz.de/10011429137
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International dependence and contagion across asset classes : the case of Poland
Adam, Michał; Bańbuła, Piotr; Markun, Michał - In: Finance a úvěr 65 (2015) 3, pp. 254-270
Persistent link: https://www.econbiz.de/10010532095
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Asymptotically distribution-free goodness-of-fit testing for tail copulas
Can, Sami Umut; Einmahl, John H. J.; Khmaladze, Estate V.; … - 2014
Persistent link: https://www.econbiz.de/10011283328
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Risk aggregation with copula for banking industry
Yoshiba, Toshinao - 2015
Persistent link: https://www.econbiz.de/10011375924
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Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
Siburg, Karl Friedrich; Stoimenov, Pavel; Weiß, Gregor - In: Journal of banking & finance 54 (2015), pp. 129-140
Persistent link: https://www.econbiz.de/10011377805
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Conditional systemic risk with penalized copula
Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015
Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...
Persistent link: https://www.econbiz.de/10011309638
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Asymmetric increasing trends in dependence in international equity markets
Okimoto, Tatsuyoshi - 2014
Persistent link: https://www.econbiz.de/10011341996