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Correlated defaults, temporal correlation, expert information and predictability of default rates
Kiefer, Nicholas Maximilian - In: Econometric reviews 36 (2017) 6/9, pp. 699-712
Persistent link: https://www.econbiz.de/10011795379
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Predicting and hedging credit portfolio risk with macroeconomic factors
Bär, Tobias - 2002
Persistent link: https://www.econbiz.de/10001649713
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Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
Jin, Xisong; Lehnert, Thorsten - 2017
Persistent link: https://www.econbiz.de/10011817658
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Multivariate GARCH and dynamic copula models for financial time series : with an application to emerging markets
Grziska, Martin - 2015 - 1. Aufl.
Persistent link: https://www.econbiz.de/10010488311
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Testing for uncorrelated residuals in dynamic count models with an application to corporate bankruptcy
Sant'Anna, Pedro H. C. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 3, pp. 349-358
Persistent link: https://www.econbiz.de/10011705946
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Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.; Squartini, T.; Kandhai, D.; Garlaschelli, D. - In: Quantitative finance 21 (2021) 9, pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
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Multivariate Copula-Modelle für Finanzmarktdaten : eine simulative und empirische Untersuchung
Köck, Christian - 2008
Persistent link: https://www.econbiz.de/10003717606
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Modeling dependencies in finance using copulae
Härdle, Wolfgang (contributor); Okhrin, Ostap (contributor) - 2008
In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the …
Persistent link: https://www.econbiz.de/10003727552
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Integrated risk management with a filtered bootstrap approach
Marsala, Claudio; Pallotta, Massimiliano; Zenti, Raffaele - In: Economic notes : economic review of Banca Monte dei … 33 (2004) 3, pp. 375-398
Persistent link: https://www.econbiz.de/10003690362
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A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
Ausín, M. Concepción; Galeano, Pedro; Ghosh, Pulak - In: European journal of operational research : EJOR 232 (2014) 2, pp. 350-358
Persistent link: https://www.econbiz.de/10010224698