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Modelling, estimation and visualization of multivariate dependence for high-frequency data
Brodin, Erik; Klüppelberg, Claudia - In: Statistical modelling and regression structures : …, (pp. 267-300). 2010
Persistent link: https://www.econbiz.de/10003964488
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Modelling, estimation and visualization of multivariate dependence for risk management
Hsing, Tailen (contributor);  … - 2004
terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no …
Persistent link: https://www.econbiz.de/10002638723
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Correlated idiosyncratic volatility shocks
Qiao, Xiao; Wang, Yongning - In: Journal of risk 23 (2021) 5, pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
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Optimal prevention for correlated risks
Courbage, Christophe; Loubergé, Henri; Peter, Richard - 2013
reduction (self-protection) so that correlation becomes endogenous. If prevention concerns only one risk, introducing a second … exogenous risk increases the level of prevention expenditures, even if correlation is negative. If prevention expenditures may …
Persistent link: https://www.econbiz.de/10010256952
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Core earnings uncertainty, dividend change announcements and the reduction of covariance component risks
Dempsey, Stephen J.; Harrison, David M.; Sheng, Hainan - In: Journal of business finance & accounting : JBFA 42 (2015) 9/10, pp. 1075-1120
Persistent link: https://www.econbiz.de/10011535857
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Machine learning risk models
Kakushadze, Zura; Yu, Willie - In: Journal of risk & control 6 (2019) 1, pp. 37-64
Persistent link: https://www.econbiz.de/10012237599
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Reputation risk contagion
Mitic, Peter - In: The journal of network theory in finance 3 (2017) 1, pp. 53-86
Persistent link: https://www.econbiz.de/10011668583
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Submodular risk allocation
Ghamami, Samim; Glasserman, Paul - In: Management science : journal of the Institute for … 65 (2019) 10, pp. 4656-4675
Persistent link: https://www.econbiz.de/10012118107
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Shrinking beta
Blitz, David; Swinkels, Laurens; Ūsaitė, Kristina; … - In: Journal of risk 24 (2022) 6, pp. 25-44
Persistent link: https://www.econbiz.de/10013549669
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Labor income, housing prices, and homeownership
Davidoff, Thomas - In: Journal of urban economics 59 (2006) 2, pp. 209-235
Persistent link: https://www.econbiz.de/10003309621