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Copulas, goodness-of-fit tests and measurement of stochastic dependencies before and during the financial crisis
Grundke, Peter; Dieckmann, Simone - In: Operations research proceedings 2010 : selected papers …, (pp. 105-110). 2011
Persistent link: https://www.econbiz.de/10009270873
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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 Da...
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
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Forecasting market risk of portfolios: copula-Markov switching multifractal approach
Segnon, Mawuli; Trede, Mark - In: The European journal of finance 24 (2018) 14, pp. 1123-1143
Persistent link: https://www.econbiz.de/10012258877
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A meta-distribution for non-stationary samples
Guégan, Dominique - 2009
Persistent link: https://www.econbiz.de/10003849558
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Copulas of a vector-valued stationary weakly dependent process
Doukhan, Paul; Fermanian, Jean-David; Lang, Gabriel - 2004
Persistent link: https://www.econbiz.de/10003435092
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Hedging CDOs in the one-factor Gaussian Copula framework
Meissner, Gunter; Hector, Richard; Rasmussen, Thomas - In: The definitive guide to CDOs : market, application, …, (pp. 481-499). 2008
Persistent link: https://www.econbiz.de/10003918859
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Pricing distressed CDOs with stochastic recovery
Höcht, Stephan; Zagst, Rudi - In: Review of derivatives research 13 (2010) 3, pp. 219-244
Persistent link: https://www.econbiz.de/10008695890
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Modeling of CPDOs : identifying optimal and implied leverage
Dorn, Jochen - In: Journal of banking & finance 34 (2010) 6, pp. 1371-1382
Persistent link: https://www.econbiz.de/10003978413
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Stochastische Methoden zur Quantifizierung von versicherungstechnischen Risiken und Kreditrisiken
Maier, Ramona - 2010
Persistent link: https://www.econbiz.de/10003957402
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On Kolmogorov equations for anisotropic multivariate Lévy processes
Reich, N.; Schwab, Christoph; Winter, C. - In: Finance and stochastics 14 (2010) 4, pp. 527-567
Persistent link: https://www.econbiz.de/10008823691