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Geographical diversification in wheat farming : a copula-based CVaR framework
Larsen, Ryan; Leatham, David J.; Sukcharoen, Kunlapath - In: Agricultural finance review 75 (2015) 3, pp. 368-384
Persistent link: https://www.econbiz.de/10011341937
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Currency price risk and stock market returns in Africa : dependence and downside spillover effects with stochastic copulas
Boako, Gideon; Alagidede, Paul - In: Journal of multinational financial management 41 (2017), pp. 92-114
Persistent link: https://www.econbiz.de/10011927874
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Momentum and crash sensitivity
Ruenzi, Stefan; Weigert, Florian - In: Economics letters 165 (2018), pp. 77-81
Persistent link: https://www.econbiz.de/10011973844
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Neural network copula portfolio optimization for exchange traded funds
Zhao, Yang; Stasinakis, Charalampos; Sermpinis, Georgios; … - In: Quantitative finance 18 (2018) 5, pp. 761-775
Persistent link: https://www.econbiz.de/10011907933
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Downside and upside risk spillovers from China to Asian stock markets : a CoVaR-copula approach
Jin, Xiaoye - In: Finance research letters 25 (2018), pp. 202-212
Persistent link: https://www.econbiz.de/10012003526
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Un modelo basado en la teoría de cópulas para la inversión sostenible y socialmente responsable
Bilbao Terol, Amelia; Arenas-Parra, Mar; … - In: Revista de contabilidad : RC-SAR 19 (2016) 1, pp. 55-76
Persistent link: https://www.econbiz.de/10011686380
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Tail dependence between gold and sectorial stocks in China : perspectives for portfolio diversification
Beckmann, Joscha; Berger, Theo; Czudaj, Robert; Hoang, … - 2017
from 2009 to 2015. Using different copulas, our results show that there is weak but significant tail dependence between …
Persistent link: https://www.econbiz.de/10011776995
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On the isolated impact of copulas on risk measurement : asimulation study
Berger, Theo - In: Economic modelling 58 (2016), pp. 475-481
Persistent link: https://www.econbiz.de/10011647502
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Downside and upside risk spillovers between exchange rates and stock prices
Reboredo, Juan Carlos; Rivera-Castro, Miguel A.; … - In: Journal of banking & finance 62 (2016), pp. 76-96
Persistent link: https://www.econbiz.de/10011634069
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The effects of dependent beliefs on endogenous leverage
Hoelle, Matthew - In: Journal of mathematical economics 73 (2017), pp. 68-80
Persistent link: https://www.econbiz.de/10011842083