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Persistent link: https://www.econbiz.de/10010515927

Effectiveness of copula-extreme value theory in estimating value-at-risk : empirical evidence from Asian emerging markets

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Time lag dependence, cross-correlation and risk analysis of US energy and non-energy stock portfolios

Hernandez, Jose Arreola; Janabi, Mazin A. M. al; … - In: The journal of asset management 16 (2015) 7, pp. 467-483

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Dynamic copula models and high frequency data

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On the distribution of sums of random variables with copula-induced dependence

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Capital allocation based on the tail covariance premium adjusted

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Copula modelling to analyse financial data

Dewick, Paul R.; Liu, Shuangzhe - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-11

Copula modelling is a popular tool in analysing the dependencies between variables. Copula modelling allows the investigation of tail dependencies, which is of particular interest in risk and survival applications. Copula modelling is also of specific interest to economic and financial modelling...

Persistent link: https://www.econbiz.de/10013161689

Nonlinearity everywhere : implications for empirical finance, technical analysis and value at risk

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-linear dependence on previous returns. The expected sign of returns tends to reverse after large price movements and trends tend to …

Persistent link: https://www.econbiz.de/10012653097

Risk aggregation and capital allocation using a new generalized Archimedean copula

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Persistent link: https://www.econbiz.de/10013271960

Analysis of the depedence of stock risk based on copula theory

Li, Qi; Deng, Guangming; Tan, Xin - In: Inventi impact: emerging economies (2020) 2, pp. 99-106

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