Similar Search Results

Narrow search

Schätzung von variierenden Beta-Koeffizienten mit dem Kalman-Filter

Boos, Anna Carri - 1988

Persistent link: https://www.econbiz.de/10000746710

Tests for market model instability : an empirical comparison of tests using recursive residuals

Knif, Johan - 1988

Persistent link: https://www.econbiz.de/10000126783

Multivariate Copula-Modelle für Finanzmarktdaten : eine simulative und empirische Untersuchung

Köck, Christian - 2008

Persistent link: https://www.econbiz.de/10003717606

Applied quantitative finance

Härdle, Wolfgang (ed.); Hautsch, Nikolaus (ed.); … - 2009 - 2. ed.

Persistent link: https://www.econbiz.de/10003719524

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 … allocation problems, Value-at-Risk and time series models. The paper is complemented with an extensive simulation study and an …

Persistent link: https://www.econbiz.de/10003727552

Stock markets, current account dynamics, and exchange rate determination

Mercereau, Benoît - 2002

Persistent link: https://www.econbiz.de/10003780033

Testing and valuing dynamic correlations for asset allocation

Engle, Robert F.; Colacito, Riccardo - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 2, pp. 238-253

Persistent link: https://www.econbiz.de/10003317174

Contributions to short-term financial risk management : volatility in high frequency data, Lévy processes and the dependence of jumps

Grothe, Oliver - 2008

Persistent link: https://www.econbiz.de/10003790958

De copulis non est disputandum Copulae : an overview

Härdle, Wolfgang; Okhrin, Ostap - 2009

Normal distribution of the residuals is the traditional assumption in the classical multivariate time series models. Nevertheless it is not very often consistent with the real data. Copulae allows for an extension of the classical time series models to nonelliptically distributed residuals. In...

Persistent link: https://www.econbiz.de/10003850706

Quantitative equity investing : techniques and strategies

Fabozzi, Frank J.; Focardi, Sergio M.; Kolm, Petter N. - 2010

Persistent link: https://www.econbiz.de/10003898661

A service of the

zbw