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Relationship between fintech by Google search and bank stock return: a case study of Vietnam

Tien Phat Pham; Pavelkova, Drahomira; Popesko, Boris; … - In: Financial innovation : FIN 10 (2024), pp. 1-25

method and validated with the copula method. A key fnding of this study is the presence of a simultaneous negative change and …

Persistent link: https://www.econbiz.de/10014541707

On joint marginal expected shortfall and associated contribution risk measures

Pu, Tong; Zhang, Yifei; Zhang, Yiying - In: Quantitative finance 24 (2024) 7, pp. 889-908

Persistent link: https://www.econbiz.de/10015050804

Investor sentiments and extreme risk spillovers from oil to stock markets : evidence from Asian countries

Wu, Fei; Ji, Qiang; Ma, Yan-Ran; Zhang, Dayong - In: Journal of the Asia Pacific economy 29 (2024) 3, pp. 1257-1283

Persistent link: https://www.econbiz.de/10015053452

Basis risk and the demand for catastrophic rainfall insurance

Negi, Digvijay S.; Ramaswami, Bharat - In: Q open : a journal of agricultural, climate, … 4 (2024) 1, pp. 1-24

Rainfall is an important source of covariate shock in developing countries. Insurance against a rainfall index has, therefore, held much promise as a formal insurance product to protect the livelihoods of poor farmers. But how good is rainfall as a measure of covariate shocks? The imperfect...

Persistent link: https://www.econbiz.de/10015053889

Estimation of counterfactual distributions with a continuous endogenous treatment

Pereda-Fernández, Santiago - In: Econometric reviews 43 (2024) 8, pp. 595-637

Persistent link: https://www.econbiz.de/10015050633

Forecasting the term structure of Philippine interest rates using the dynamic Nelson-Siegel model

Lara-Tuprio, Elvira P. de; Bataller, Ramil T.; Torres, … - In: DLSU business & economics review 27 (2017/2018) 1, pp. 190-200

Persistent link: https://www.econbiz.de/10011948540

The impact of Thailand's openness on bilateral trade between Thailand and Japan : Copula-based Markov switching seemingly unrelated regression model

Pathairat Pastpipatkul; Petchaluck Boonyakunakorn; … - In: Economies : open access journal 8 (2020) 1/9, pp. 1-15

specified gravity equations are estimated by Copula-based Markov switching seemingly unrelated regression approach. The best … Student's t copula is applied for joint distribution. Analyzing the bilateral trade flow is separated into two situations …

Persistent link: https://www.econbiz.de/10012168770

Using copulas to model time dependence in stochastic frontier models

Amsler, Christine Elaine; Prokhorov, Artem; Schmidt, Peter - In: Econometric reviews 33 (2014) 5/6, pp. 497-522

Persistent link: https://www.econbiz.de/10010360796

A goodness-of-fit test for copulas

Huang, Wanling; Prokhorov, Artem - In: Econometric reviews 33 (2014) 7, pp. 751-771

Persistent link: https://www.econbiz.de/10010363881