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Modeling dependence in high dimensions with factor copulas
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 139-154
Persistent link: https://www.econbiz.de/10011704143
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Analysing dynamic dependence between gold and stock returns : evidence using stochastic and full-range tail dependence copula models
Boako, Gideon; Tiwari, Aviral Kumar; Ibrahim, Muazu; … - In: Finance research letters 31 (2019), pp. 391-397
Persistent link: https://www.econbiz.de/10012421744
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On the role of domestic and international financial cyclical factors in driving economic growth
Billio, Monica; Donadelli, Michael; Livieri, G.; … - In: Applied economics 52 (2020) 11, pp. 1272-1297
Persistent link: https://www.econbiz.de/10012197527
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International cause-specific mortality rates : new insights from a cointegration analysis
Arnold-Gaille, Séverine; Sherris, Michael - In: Astin bulletin : the journal of the International … 46 (2016) 1, pp. 9-38
Persistent link: https://www.econbiz.de/10011485128
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Copula methods for forecasting multivariate time series
Patton, Andrew J. - 2013
Persistent link: https://www.econbiz.de/10011507033
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Time lag dependence, cross-correlation and risk analysis of US energy and non-energy stock portfolios
Hernandez, Jose Arreola; Janabi, Mazin A. M. al; … - In: The journal of asset management 16 (2015) 7, pp. 467-483
Persistent link: https://www.econbiz.de/10011455734
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Some further results on the tempered multistable approach
Le Courtois, Olivier - In: Asia-Pacific financial markets 25 (2018) 2, pp. 87-109
Persistent link: https://www.econbiz.de/10012032996
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Modeling and forecasting call center arrivals : a literature survey and a case study
Ibrahim, Rouba; Ye, Han; L'Ecuyer, Pierre; Shen, Haipeng - In: International journal of forecasting 32 (2016) 3, pp. 865-874
Persistent link: https://www.econbiz.de/10011621847
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Time-varying dependence between stock and government bond returns : international evidence with dynamic copulas
Jammazi, Rania; Tiwari, Aviral Kumar; Ferrer, Román; … - In: The North American journal of economics and finance : a … 33 (2015), pp. 74-93
Persistent link: https://www.econbiz.de/10011534370
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Stochastic equicontinuity in nonlinear time series models
Hagemann, Andreas - In: The econometrics journal 17 (2014) 1, pp. 188-196
Persistent link: https://www.econbiz.de/10010498747