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Credit Default Swaps as Hedgin...
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Risikomaß
7,542
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7,520
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4,477
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4,437
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3,371
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3,368
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2,983
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2,970
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2,489
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2,471
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2,232
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2,223
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1,478
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881
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881
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703
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702
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McAleer, Michael
147
Allen, David E.
62
Härdle, Wolfgang
56
Hammoudeh, Shawkat
54
Fabozzi, Frank J.
51
Wang, Ruodu
50
Scheicher, Martin
46
Chang, Chia-Lin
45
Okhrin, Ostap
45
Daníelsson, Jón
41
Stoja, Evarist
38
Vries, Casper G. de
36
Tang, Dragon Yongjun
35
Caporin, Massimiliano
33
Dowd, Kevin
33
Zhu, Haibin
33
Pérez Amaral, Teodosio
32
Gouriéroux, Christian
31
Lucas, André
31
Gerlach, Richard
29
Schienle, Melanie
29
Vanduffel, Steven
29
Embrechts, Paul
28
Hautsch, Nikolaus
28
Shahzad, Syed Jawad Hussain
28
Zhou, Hao
28
Polanski, Arnold
27
Dionne, Georges
26
Jiménez-Martín, Juan-Ángel
26
Powell, Robert
26
Righi, Marcelo Brutti
26
Rüschendorf, Ludger
26
Singh, Manmohan
26
Bouri, Elie
25
Mayordomo, Sergio
25
Mittnik, Stefan
25
Paolella, Marc S.
25
Ardia, David
24
Giot, Pierre
24
Gündüz, Yalın
24
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
63
National Bureau of Economic Research
43
HAL
38
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
22
Tinbergen Instituut
20
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
17
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
12
Business School, University of Sydney
10
Department of Econometrics and Business Statistics, Monash Business School
10
EconWPA
10
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
10
Springer Fachmedien Wiesbaden
10
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
9
Department of Economics and Finance, College of Business and Economics
9
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9
Basel Committee on Banking Supervision
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8
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8
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7
Center for Financial Studies
7
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7
Erasmus University Rotterdam, Econometric Institute
7
Frankfurt School of Finance and Management
7
Henley Business School, University of Reading
7
Institute of Economic Research, Kyoto University
7
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7
Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg
7
Deutsche Bundesbank
6
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6
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5
CESifo
5
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
5
European Central Bank
5
Friedrich-Schiller-Universität Jena
5
School of Economics and Management, University of Aarhus
5
Sveriges Riksbank
5
Verlag Dr. Kovač
5
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Journal of banking & finance
251
Insurance / Mathematics & economics
244
Finance research letters
181
IMF Working Papers
180
European journal of operational research : EJOR
132
Journal of risk
132
Risks : open access journal
124
International review of financial analysis
123
Economic modelling
103
The North American journal of economics and finance : a journal of financial economics studies
100
Energy economics
98
Applied economics
88
Journal of empirical finance
80
Discussion paper / Tinbergen Institute
76
International journal of theoretical and applied finance
76
Journal of international financial markets, institutions & money
73
The journal of risk model validation
70
International review of economics & finance : IREF
68
Journal of risk and financial management : JRFM
68
Quantitative finance
68
IMF Staff Country Reports
65
MPRA Paper
63
International journal of forecasting
62
Journal of econometrics
61
Research paper series / Swiss Finance Institute
59
The journal of structured finance
59
Research in international business and finance
58
The journal of credit risk : published quarterly by Incisive Media
56
Journal of financial stability
55
The European journal of finance
54
Computational economics
52
Journal of risk management in financial institutions
51
The journal of fixed income
51
Applied economics letters
49
The journal of operational risk
48
Management science : journal of the Institute for Operations Research and the Management Sciences
47
Working paper
47
SFB 649 discussion paper
46
Journal of economic dynamics & control
44
Journal of financial economics
44
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ECONIS (ZBW)
11,471
RePEc
1,534
EconStor
338
BASE
54
USB Cologne (EcoSocSci)
51
Other ZBW resources
42
USB Cologne (business full texts)
5
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date (oldest first)
1
Energy portfolio risk management using time-varying
copula
methods : application to bonds, interest rate and VIX
Abdelkafi, Samar Zlitni
;
Ghorbel, Ahmed
;
Khoufi, Walid
- In:
American journal of finance and accounting
5
(
2018
)
4
,
pp. 371-393
Persistent link: https://www.econbiz.de/10011966860
Saved in:
2
Pricing CDS spreads with Credit Valuation Adjustment using a mixture
copula
Harb, Etienne
;
Louhichi, Wael
- In:
Research in international business and finance
39
(
2017
),
pp. 963-975
Persistent link: https://www.econbiz.de/10011912420
Saved in:
3
Dependence in credit default swap and equity markets : dynamic
copula
with Markov-switching
Fei, Fei
;
Fuertes, Ana María
;
Kalotychou, Elena
- In:
International journal of forecasting
33
(
2017
)
3
,
pp. 662-678
Persistent link: https://www.econbiz.de/10011746197
Saved in:
4
A
copula
-based systemic risk measure : application to investment-grade and high-yield CDS portfolios
Choi, So Eun
;
Jang, Hyun Jin
;
Choe, Geon Ho
- In:
Applied economics letters
27
(
2020
)
15
,
pp. 1264-1271
Persistent link: https://www.econbiz.de/10012267120
Saved in:
5
Application of
copula
-GARCH to estimate VaR of a portfolio with credit default swaps
Huang, Jhe-Jheng
;
So, Leh-Chyan
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 382-407
Persistent link: https://www.econbiz.de/10011874816
Saved in:
6
Liquidity tail risk and credit default swap spreads
Irresberger, Felix
;
Weiß, Gregor
;
Gabrysch, Janet
; …
- In:
European journal of operational research : EJOR
269
(
2018
)
3
,
pp. 1137-1153
Persistent link: https://www.econbiz.de/10011866884
Saved in:
7
Copulas and portfolios in the electric vehicle sector
Stenšin, Andrej
;
Bloznelis, Daumantas
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
3
,
pp. 1-20
distribution of their returns by
copula
-GARCH models. They facilitate portfolio optimization targeted at a chosen combination of …
Persistent link: https://www.econbiz.de/10013164959
Saved in:
8
Stress testing bank insolvency risk by systemic equity market shock : an expected shortfall approach
Yang, Hank Z.
- In:
Journal of risk management in financial institutions
16
(
2022/2023
)
3
,
pp. 211-227
Persistent link: https://www.econbiz.de/10014320203
Saved in:
9
Copula
-MGARCH with continuous covariance decomposition
Herwartz, Helmut
;
Raters, Fabian H. C.
- In:
Economics letters
133
(
2015
),
pp. 73-76
Persistent link: https://www.econbiz.de/10011431988
Saved in:
10
Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
Siburg, Karl Friedrich
;
Stoimenov, Pavel
;
Weiß, Gregor
- In:
Journal of banking & finance
54
(
2015
),
pp. 129-140
Persistent link: https://www.econbiz.de/10011377805
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