Similar Search Results

Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index

Ignatieva, Katja - 2012

of a well diversified world stock index. The paper uses the equi-weighted index EWI104s, calculated as the average of 104 … world industry sector indices. The log-returns of its denominations in different currencies appear to be Student … copulae to the estimation of the Value-at-Risk and the expected shortfall of a portfolio, constructed of savings accounts of …

Persistent link: https://www.econbiz.de/10013098519

Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence

Mo, Guoli; Zhang, Weiguo; Tan, Chunzhi; Liu, Xing - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-23

Persistent link: https://www.econbiz.de/10013413442

Time varying hierarchical archimedean copulae

Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - 2010

-Gaussian dependency structures with a small number of parameters. In this paper we develop a novel adaptive estimation technique of the … ; Archimedean copula ; adaptive estimation …

Persistent link: https://www.econbiz.de/10003953027

Prediction, risk assessment and comparison of selected emerging markets' stock indices during covid-19 pandemic using the coherent measure : comparing selected emerging markets' st...

Das, Prabir Kumar; Das, Anarghya - In: The journal of prediction markets 16 (2022) 3, pp. 81-97

Persistent link: https://www.econbiz.de/10014290506

Risk dependence and cointegration between pharmaceutical stock markets : the case of China and the USA

Zhou, Xinmiao; Qian, Huanhuan; Pérez Rodríguez, Jorge V. - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012654918

A comparison study of copula models for European financial index returns

Tofoli, Paula V.; Ziegelmann, Flávio A.; Candido, Osvaldo - In: International journal of economics and finance 9 (2017) 10, pp. 155-178

Persistent link: https://www.econbiz.de/10011764112

Revisiting the accuracy of standard VaR methods for risk assessment : using the Copula-EVT multidimensional approach for stock markets in the MENA region

Chebbi, Ali; Hedhli, Amel - In: The quarterly review of economics and finance : journal … 84 (2022), pp. 430-445

Persistent link: https://www.econbiz.de/10013335886

Jump tail dependence in the Chinese stock market

Li, Sophia Zhengzi; Wang, Hao; Zhao, Hua - In: Emerging markets finance & trade : a journal of the … 52 (2016) 10/12, pp. 2379-2396

Persistent link: https://www.econbiz.de/10011672561

Portfolio management under asymmetric dependence and distribution

Hlawatsch, Stefan; Reichling, Peter - 2010

Persistent link: https://www.econbiz.de/10008902551

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

1
2
3
4
5
6
7
8
9
10
Next
Last