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Functional ARCH directional dependence via copula for intraday volatility from high-frequency financial time series

Kim, Jong-Min; Hwang, Sun Young - In: Applied economics 53 (2021) 4, pp. 506-520

Persistent link: https://www.econbiz.de/10012416072

Assessing tail risk for nonlinear dependence of MSCI sector indices : a copula three-stage approach

De Luca, Giovanni; Guégan, Dominique; Rivieccio, Giorgia - In: Finance research letters 30 (2019), pp. 327-333

Persistent link: https://www.econbiz.de/10012420870

Copula-based time series with filtered nonstationarity

Chen, Xiaohong; Xiao, Zhijie; Wang, Bo - 2020 - Final version: October 2020

Persistent link: https://www.econbiz.de/10012320594

A comparison of tail dependence estimators

Supper, Hendrik; Irresberger, Felix; Weiß, Gregor - In: European journal of operational research : EJOR 284 (2020) 2, pp. 728-742

Persistent link: https://www.econbiz.de/10012238789

The bivariate probit model, maximum likelihood estimation, pseudo true parameters and partial identification

Li, Chuhui; Poskitt, Donald Stephen; Zhao, Xueyan - In: Journal of econometrics 209 (2019) 1, pp. 94-113

Persistent link: https://www.econbiz.de/10012302525

Gaussian rank correlation and regression

Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - 2020

Persistent link: https://www.econbiz.de/10012308723

Count copula regression model using generalized beta distributionof the second kind

Safari-Katesari, Hadi; Zaroudi, Samira - In: Statistics in transition : an international journal of … 21 (2020) 2, pp. 1-12

Modelling claims severity for obtaining insurance premium is one of the major concerns of the insurance industry. There is a considerable amount of literature on the actuarial application of the copula model to calculate the pure premium. In this paper, we model claims severity for computing the...

Persistent link: https://www.econbiz.de/10012257007

A diagnostic test for specification of copulas under censorship

Lin, Juan; Wu, Ximing - In: Econometric reviews 39 (2020) 9, pp. 930-946

Persistent link: https://www.econbiz.de/10012295589

Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model

Pfeuffer, Marius; Nagl, Maximilian; Fischer, Matthias; … - In: Journal of risk 22 (2019/2020) 4, pp. 1-30

Persistent link: https://www.econbiz.de/10012297503

Unfolded GARCH models

Liu, Xiaochun; Luger, Richard - In: Journal of economic dynamics & control 58 (2015), pp. 186-217

Persistent link: https://www.econbiz.de/10011574655