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Copula based models for serial dependence

Mendes, Beatriz Vaz de Melo; Aíube, Cecília - In: International journal of managerial finance : IJMF 7 (2011) 1, pp. 68-82

Persistent link: https://www.econbiz.de/10008992011

Measuring financial risks with copulas

Mendes, Beatriz Vaz de Melo; Souza, Rafael Martins de - In: International review of financial analysis 13 (2004) 1, pp. 27-45

Persistent link: https://www.econbiz.de/10002066867

On the dependence structure of realized volatilities

Mendes, Beatriz Vaz de Melo; Accioly, Victor Bello - In: International review of financial analysis 22 (2012), pp. 1-9

Persistent link: https://www.econbiz.de/10010219700

Improving (E)GARCH forecasts with robust realized range measures : evidence from international markets

Mendes, Beatriz Vaz de Melo; Accioly, Victor Bello - In: Journal of economics and finance 41 (2017) 4, pp. 631-658

Persistent link: https://www.econbiz.de/10011802188

Copula based models for serial dependence

Vaz de Melo Mendes, Beatriz; Aíube, Cecília - In: International Journal of Managerial Finance 7 (2011) 1, pp. 68-82

Purpose – This paper aims to statistically model the serial dependence in the first and second moments of a univariate time series using copulas, bridging the gap between theory and applications, which are the focus of risk managers. Design/methodology/approach – The appealing feature of the...

Persistent link: https://www.econbiz.de/10014785326

Copula based models for serial dependence

Mendes, Beatriz Vaz de Melo; Aíube, Cecília - In: International Journal of Managerial Finance 7 (2011) February, pp. 68-82

Persistent link: https://www.econbiz.de/10009191082