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Modelling dependence in Latin American markets using copula functions

Canela, Miguel-Angel; Pedreira, Eduardo - In: Journal of emerging market finance 11 (2012) 3, pp. 231-270

Persistent link: https://www.econbiz.de/10010380792

Copulas in finance ten years later

Kharoubi-Rakotomalala, Cécile; Maurer, Frantz - In: The journal of applied business research 29 (2013) 5, pp. 1555-1566

Persistent link: https://www.econbiz.de/10010198082

Assessing some stylized facts about financial market indexes : a Markov copula approach

Silva Filho, Osvaldo Candido da; Ziegelmann, Flávio A. - In: Journal of economic studies 41 (2014) 2, pp. 253-271

Persistent link: https://www.econbiz.de/10010259266

Small sample properties of Copula-GARCH modelling : a Monte Carlo study

Bianchi, Carluccio; De Giuli, Maria Elena; Fantazzini, Dean - 2009

Copula-GARCH models have been recently proposed in the financial literature as a statistical tool to build flexible multivariate distributions. Our extensive simulation studies investigate the small sample properties of these models and examine how misspecification in the marginals may affect...

Persistent link: https://www.econbiz.de/10010259914

How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas

Mzoughi, Hela; Mansouri, Fayçal - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 1-14

Persistent link: https://www.econbiz.de/10010338365

Weak dependence between the Brazilian consumer inflation and expected inflation : non-linear and Copulas methods and a note on the Central Bank's credibility

Moreira, Ricardo Ramalhete; Chaiboonsri, Chukiat; … - In: International journal of monetary economics and finance 6 (2013) 1, pp. 40-54

Persistent link: https://www.econbiz.de/10010250294

Idiosyncratic risks, bailout, and financial crisis : a copula approach

Wang, Daphne; Nguyen Khoa Huu - In: Global business and finance review 20 (2015) 1, pp. 53-70

Persistent link: https://www.econbiz.de/10011434259

Industry co-movements of American depository receipts : evidences from the copula approaches

Lee, Chien-chiang; Chang, Chi-Hung; Chen, Mei-Ping - In: Economic modelling 46 (2015), pp. 301-314

Persistent link: https://www.econbiz.de/10011436620

Optimal product bundling with dependent valuations : the price of independence

Banciu, Mihai; Ødegaard, F. - In: European journal of operational research : EJOR 255 (2016) 2, pp. 481-495

Persistent link: https://www.econbiz.de/10011532138

An analysis of dependence between Central and Eastern European stock markets

Reboredo, Juan Carlos; Tiwari, Aviral Kumar; Albulescu, … - In: Economic systems 39 (2015) 3, pp. 474-490

Persistent link: https://www.econbiz.de/10011532315