Similar Search Results

Chapter 16. Copula Methods for Forecasting Multivariate Time Series

Patton, Andrew - 2013

to specify the models for the marginal distributions separately from the dependence structure (copula) that links them to …

Persistent link: https://www.econbiz.de/10014025232

Assessing ChatGPT's proficiency in quantitative risk management

Hofert, Marius - In: Risks : open access journal 11 (2023) 9, pp. 1-29

courses on quantitative risk management, and address risk in general, risk measures, time series, extremes and dependence. As …

Persistent link: https://www.econbiz.de/10014375303

Copula modelling to analyse financial data

Dewick, Paul R.; Liu, Shuangzhe - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-11

Copula modelling is a popular tool in analysing the dependencies between variables. Copula modelling allows the investigation of tail dependencies, which is of particular interest in risk and survival applications. Copula modelling is also of specific interest to economic and financial modelling...

Persistent link: https://www.econbiz.de/10013161689

Dependence between Croatian and European stock markets : a copula GARCH approach

Dajčman, Silvo - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 31 (2013) 2, pp. 209-232

Persistent link: https://www.econbiz.de/10010240939

A wavelet decomposition approach to crude oil price and exchange rate dependence

Reboredo, Juan Carlos; Rivera-Castro, Miguel A. - In: Economic modelling 32 (2013), pp. 42-57

Persistent link: https://www.econbiz.de/10009760777

The cross-quantilogram : measuring quantile dependence and testing directional predictability between time series

Han, Heejoon; Linton, Oliver; Oka, Tatsushi; Whang, Yoon-jae - 2014

This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to …

Persistent link: https://www.econbiz.de/10010245330

On the distribution of sums of random variables with copula-induced dependence

Gijbels, Irène; Herrmann, Klaus - In: Insurance / Mathematics & economics 59 (2014), pp. 27-44

Persistent link: https://www.econbiz.de/10010469189

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

Mixed data kernel copulas

Racine, Jeffrey - In: Empirical economics : a journal of the Institute for … 48 (2015) 1, pp. 37-59

Persistent link: https://www.econbiz.de/10011285976

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