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1
Small sample properties of Copula-GARCH modelling : a Monte Carlo study
Bianchi, Carluccio
;
De Giuli, Maria Elena
;
Fantazzini, Dean
-
2009
multivariate distributions. Our extensive
simulation
studies investigate the small sample properties of these models and examine …
Persistent link: https://www.econbiz.de/10010259914
Saved in:
2
Tail dependence of financial stocks and CDS markets : evidence using copula methods and
simulation
-based inference
Silva, Paulo Pereira da
;
Rebelo, Paulo Tomaz
;
Afonso, …
-
2014
Using copula methods and
simulation
-based inference, the authors investigate the association between the performance of …
Persistent link: https://www.econbiz.de/10010429997
Saved in:
3
Perspective of an exchange rate policy for global financial systems : evidence between China and ASEAN countries
Chukiat Chaiboonsri
;
Satawat Wannapan
;
Nisit Pantamit
- In:
International journal of computational economics and …
12
(
2022
)
1/2
,
pp. 29-51
Persistent link: https://www.econbiz.de/10012939565
Saved in:
4
Tail dependence of financial stocks and CDS markets : evidence using copula methods and
simulation
-based inference
Silva, Paulo Pereira da
;
Rebelo, Paulo Tomaz
;
Afonso, …
-
2013
Using copula methods and
simulation
-based inference the authors address the association between the performance of the …
Persistent link: https://www.econbiz.de/10010187546
Saved in:
5
Identifying mixture copula components using outlier detection methods and goodness-of-fit tests
Weiß, Gregor
- In:
Journal of risk
16
(
2013/2014
)
4
,
pp. 61-101
Persistent link: https://www.econbiz.de/10013262930
Saved in:
6
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
Saved in:
7
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
Saved in:
8
Numerical comparison of multivariate models to forecasting risk measures
Müller, Fernanda Maria
;
Righi, Marcelo Brutti
- In:
Risk management : a journal of risk, crisis and disaster
20
(
2018
)
1
,
pp. 29-50
Persistent link: https://www.econbiz.de/10011859009
Saved in:
9
Initial margin estimations for credit default swap portfolios
Ivanov, Stanislav
- In:
The journal of financial market infrastructures
5
(
2017
)
4
,
pp. 22-49
Persistent link: https://www.econbiz.de/10011729219
Saved in:
10
Comparing the riskiness of dependent portfolios via nested L-statistics
Samanthi, Ranadeera G.M.
;
Wei, Wei
;
Brazauskas, Vytaras
- In:
Annals of actuarial science : publ. by the Institute of …
11
(
2017
)
2
,
pp. 213-236
Persistent link: https://www.econbiz.de/10011820567
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