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Testing dependence between GDP and tourism's growth rates

Pérez Rodríguez, Jorge V.; Ledesma-Rodríguez, … - In: Tourism management : research, policies, practice 48 (2015), pp. 268-282

Persistent link: https://www.econbiz.de/10010508390

Modeling dependence in high dimensions with factor copulas

Oh, Dong Hwan; Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 139-154

Persistent link: https://www.econbiz.de/10011704143

Estimating value-at-risk using a multivariate copula-based volatility model : evidence from European banks

Sampid, Marius Galabe; Hasim, Haslifah Mohamad - In: International economics : a journal published by CEPII … 156 (2018), pp. 175-192

Persistent link: https://www.econbiz.de/10012027269

An efficient portfolio loss model

Fenger, Christian - In: The journal of credit risk : published quarterly by … 15 (2019) 3, pp. 21-39

Persistent link: https://www.econbiz.de/10012121560

Sensitivity analysis of decision making under dependent uncertainties using copulas

Wang, Tianyang; Dyer, James S.; Hahn, Warren J. - In: EURO Journal on decision processes 5 (2017) 1/4, pp. 117-139

Persistent link: https://www.econbiz.de/10011777820

Evaluating measures of dependence for linearly generated nonlinear time series along with spurious correlation

Agiakloglou, Christos N.; Bera, Anil K.; Deligiannakis, … - In: Journal of economics and finance : JEF 46 (2022) 3, pp. 535-552

Persistent link: https://www.econbiz.de/10013442210

Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates

Chen, Xiaohong; Fan, Yanqin; Patton, Andrew J. - London School of Economics (LSE) - 2004

Evidence that asset returns are more highly correlated during volatile markets and during market downturns (see Longin and Solnik, 2001, and Ang and Chen, 2002) has lead some researchers to propose alternative models of dependence. In this paper we develop two simple goodness-of-fit tests for...

Persistent link: https://www.econbiz.de/10010746302

The use of copulas in explaining crop yield dependence structures for use in geographic diversification

Larsen, Ryan; Mjelde, James W.; Klinefelter, Danny; … - In: Agricultural Finance Review 73 (2013), pp. 469-492

using Pearson linear correlation and Kendall's tau. The use of Kendall's tau allows the implementation of copulas to …Purpose – What copulas are, their estimation, and use is illustrated using a geographical diversification example. To … parametric copulas, Gaussian, Frank, Clayton, and Gumbel, are used to estimate Kendall's tau. These four estimates of Kendall …

Persistent link: https://www.econbiz.de/10010797627

The use of copulas in explaining crop yield dependence structures for use in geographic diversification

Larsen, Ryan; W. Mjelde, James; Klinefelter, Danny; … - In: Agricultural Finance Review 73 (2013) 3, pp. 469-492

Persistent link: https://www.econbiz.de/10014667333

Can CDS indexes signal future turmoils in the stock market? : a Markov switching perspective

Castellano, Rosella; Scaccia, Luisa - In: Central European journal of operations research : CEJOR … 22 (2014) 2, pp. 285-305

Persistent link: https://www.econbiz.de/10010356926