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Locally optimal tests of independence for Archimedean copula families
Rahnenführer, Jörg
- In:
Statistical inference, econometric analysis and matrix …
,
(pp. 103-112)
.
2009
Persistent link: https://www.econbiz.de/10003780940
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2
Copula choice with factor credit portfolio models
Hamerle, Alfred
;
Plank, Kilian
- In:
Statistical modelling and regression structures : …
,
(pp. 321-336)
.
2010
Persistent link: https://www.econbiz.de/10003964496
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3
Construction and backtesting of a multi-factor stress-scenario for the stock market
Boldyrev, Kirill
;
Andrianov, Dmitry
;
Ivliev, Sergey
- In:
Financial econometrics and empirical market microstructure
,
(pp. 37-45)
.
2015
Persistent link: https://www.econbiz.de/10011326724
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Copulas, goodness-of-fit tests and measurement of stochastic dependencies before and during the financial crisis
Grundke, Peter
;
Dieckmann, Simone
- In:
Operations research proceedings 2010 : selected papers …
,
(pp. 105-110)
.
2011
Persistent link: https://www.econbiz.de/10009270873
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Correlated default processes : a criterion-based copula approach
Das, Sanjiv R.
;
Geng, Gary
- In:
Credit risk : models, derivatives, and management
,
(pp. 347-375)
.
2008
Persistent link: https://www.econbiz.de/10003718543
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Modeling credit dependency
Servigny, Arnaud de
- In:
The handbook of structured finance
,
(pp. 137-215)
.
2007
Persistent link: https://www.econbiz.de/10003727133
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Copula-based credit rating model for evaluating basket credit derivatives
Papageorgiou, Nicolas
;
Rémillard, Bruno
;
Gardère, Jean-Luc
- In:
The handbook of credit portfolio management
,
(pp. 163-180)
.
2009
Persistent link: https://www.econbiz.de/10003778231
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8
A new algorithm based on copulas for financial risk calculation with applications to Chinese stock markets
Lin, Ping
;
Shi, Peng
;
Huang, Guang-Dong
- In:
Internet and network economics : first international …
,
(pp. 481-490)
.
2005
Persistent link: https://www.econbiz.de/10003276785
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9
A survey of dependency modelling: copulas, tail dependence and estimation
Kiesel, Rüdiger
;
Schmidt, Rafael
- In:
Structured credit products : pricing, rating, risk …
,
(pp. 3-34)
.
2004
Persistent link: https://www.econbiz.de/10003283016
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Modeling individual earnings trajectories using copulas : France, 1990 - 2002
Bonhomme, Stéphane
;
Robin, Jean-Marc
- In:
Structural models of wage and employment dynamics : …
,
(pp. 441-478)
.
2006
Persistent link: https://www.econbiz.de/10003331590
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