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Industry co-movements of American depository receipts : evidences from the copula approaches
Lee, Chien-chiang; Chang, Chi-Hung; Chen, Mei-Ping - In: Economic modelling 46 (2015), pp. 301-314
Persistent link: https://www.econbiz.de/10011436620
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Value-at-risk and models of dependence in the U.S. federal crop insurance program
Ramsey, A. Ford; Goodwin, Barry K. - In: Journal of risk and financial management : JRFM 12 (2019) 2/65, pp. 1-21
consists of policies across a wide range of crops, plans, and locations. Weather and other latent variables induce dependence …
Persistent link: https://www.econbiz.de/10012022159
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Modeling dependence in high dimensions with factor copulas
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 139-154
Persistent link: https://www.econbiz.de/10011704143
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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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Sensitivity analysis of decision making under dependent uncertainties using copulas
Wang, Tianyang; Dyer, James S.; Hahn, Warren J. - In: EURO Journal on decision processes 5 (2017) 1/4, pp. 117-139
Persistent link: https://www.econbiz.de/10011777820
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Effectiveness of copula-extreme value theory in estimating value-at-risk : empirical evidence from Asian emerging markets
Hsu, Chun-pin; Huang, Chin-wen; Chiou, Wan-jiun Paul - In: Review of quantitative finance and accounting 39 (2012) 4, pp. 447-468
Persistent link: https://www.econbiz.de/10009690403
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Analysing dynamic dependence between gold and stock returns : evidence using stochastic and full-range tail dependence copula models
Boako, Gideon; Tiwari, Aviral Kumar; Ibrahim, Muazu; … - In: Finance research letters 31 (2019), pp. 391-397
Persistent link: https://www.econbiz.de/10012421744
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Asset dependency structures and portfolio insurance strategies
Mantilla-Garcia, Daniel; Horst, Enrique ter; Audeguil, … - In: International journal of theoretical and applied finance 24 (2021) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10012652614
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Collective risk models with dependence
Cossette, Hélène; Marceau, Etienne; Mtalai, Itre - In: Insurance / Mathematics & economics 87 (2019), pp. 153-168
Persistent link: https://www.econbiz.de/10012058960
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Risk aggregation and capital allocation using a new generalized Archimedean copula
Marri, Fouad; Moutanabbir, Khouzeima - In: Insurance / Mathematics & economics 102 (2022), pp. 75-90
Persistent link: https://www.econbiz.de/10013271960