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Copula-based nonlinear quantile autoregression
Chen, Xiaohong (contributor); Koenker, Roger (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003773621
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Asymptotic properties of the Bernstein density copula for dependent data
Bouezmarni, Taoufik (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003774299
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Auto-dependence structure of arch-models : tail dependence coefficients
Brummelhuis, Raymond (contributor) - 2006
Persistent link: https://www.econbiz.de/10003324645
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Frequent turbulence? : A dynamic copula approach
Chollete, Loran (contributor); Heinen, Andreas (contributor) - 2006
Persistent link: https://www.econbiz.de/10003351883
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Testing for equality between two copulas
Rémillard, Bruno (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003354351
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Portfolio credit risk modelling with heavy-tailed risk factors
Kostadinov, Krassimir Kolev (contributor) - 2006
Persistent link: https://www.econbiz.de/10003358509
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A new algorithm based on copulas for financial risk calculation with applications to Chinese stock markets
Lin, Ping; Shi, Peng; Huang, Guang-Dong - In: Internet and network economics : first international …, (pp. 481-490). 2005
Persistent link: https://www.econbiz.de/10003276785
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A survey of dependency modelling: copulas, tail dependence and estimation
Kiesel, Rüdiger; Schmidt, Rafael - In: Structured credit products : pricing, rating, risk …, (pp. 3-34). 2004
Persistent link: https://www.econbiz.de/10003283016
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Tail dependency in operational risk models
Sheikh, Ahraz; Gavin, John - In: Operational risk : practical approaches to implementation, (pp. 13-21). 2005
Persistent link: https://www.econbiz.de/10003285523
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Multivariate tail copula : modeling and estimation
Klüppelberg, Claudia (contributor);  … - 2006
In general, risk of an extreme outcome in financial markets can be expressed as a function of the tail copula of a high-dimensional vector after standardizing marginals. Hence it is of importance to model and estimate tail copulas. Even for moderate dimension, nonparametrically estimating a tail...
Persistent link: https://www.econbiz.de/10003310081