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Gaussian Slug - Simple Nonlinearity Enhancement to the 1-Factor and Gaussian Copula Models in Finance, with Parametric Estimation and Goodness-of-Fit Tests on US and Thai Equity Data

Nacaskul, PhD, DIC, CFA, Poomjai - 2016

A bivariate normal distribution, with the attendant non-analytically integrable p.d.f., lies at the hearts of many financial theories. Its derived Gaussian copula ostensibly does away with the normality assumptions, only to retain the linear (Pearson's) correlation measure implicit to said...

Persistent link: https://www.econbiz.de/10013009170

Recognizing and visualizing copulas : an approach using local Gaussian approximation

Berentsen, Geir Drage; Støve, Bård; Tjostheim, Dag; … - In: Insurance / Mathematics & economics 57 (2014), pp. 90-103

Persistent link: https://www.econbiz.de/10010402717

Quantile spectral processes : asymptotic analysis and inference

Kley, Tobias; Volgushev, Stanislav; Dette, Holger; … - 2014

Persistent link: https://www.econbiz.de/10010378433

A meta-distribution for non-stationary samples

Guégan, Dominique - 2009

Persistent link: https://www.econbiz.de/10003849558

Copula-based stochastic frontier model with autocorrelated inefficiency

Das, Arabinda - In: Central European journal of economic modelling and … 7 (2015) 2, pp. 111-126

Persistent link: https://www.econbiz.de/10011429746

Endogeneity in stochastic frontier models : Copula approach without external instruments

Tran, Kien; Tsionas, Efthymios G. - In: Economics letters 133 (2015), pp. 85-88

Persistent link: https://www.econbiz.de/10011432003

Functional characterizations of bivariate weak SAI with an application

You, Yinping; Li, Xiaohu - In: Insurance / Mathematics & economics 64 (2015), pp. 225-231

Persistent link: https://www.econbiz.de/10011398021

The semi-geometric process and some properties

Wu, Shaomin; Wang, Guanjun - In: IMA journal of management mathematics 29 (2018) 2, pp. 229-245

Persistent link: https://www.econbiz.de/10011888616

The "wrong skewness" problem : a re-specification of stochastic frontiers

Bonanno, Graziella; Giovanni, Domenico de; Domma, Filippo - In: Journal of productivity analysis 47 (2017) 1, pp. 49-64

Persistent link: https://www.econbiz.de/10011741310

Stochastic frontier model in financial econometrics : a copula-based approach

Phachongchit Tibprasorn; Kittawit Autchariyapanitkul; … - In: Robustness in econometrics, (pp. 575-586). 2017

Persistent link: https://www.econbiz.de/10011801882

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