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WTI crude oil Futures in portfolio diversification : the time-to-maturity effect

Geman, Hélyette; Kharoubi, Cécile - In: Journal of banking & finance 32 (2008) 12, pp. 2553-2559

Persistent link: https://www.econbiz.de/10003795775

On the systemic nature of weather risk

Filler, Guenther; Odening, Martin; Okhrin, Ostap - 2009

Systemic weather risk is a major obstacle for the formation of private (non- subsidized) crop insurance. This paper explores the possibility of spatial diversification of insurance by estimating the joint occurrence of unfavorable weather conditions in different locations. For that purpose...

Persistent link: https://www.econbiz.de/10003796148

Out-of-sample comparison of copula specifications in multivariate density forecasts

Diks, Cees G. H. (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003798233

Copulae and operational risks

Fantazzini, Dean; Dalla Valle, Luciana; Giudici, Paolo - In: International journal of risk assessment and management … 9 (2008) 3, pp. 238-257

Persistent link: https://www.econbiz.de/10003806839

Efficient estimation of copula-based semiparametric Markov models

Chen, Xiaohong; Wu, Wei Biao; Yi, Yanping - 2009

Persistent link: https://www.econbiz.de/10003808786

Risikoaggregation unter Berücksichtigung der Ereignisse aus der Finanzkrise : ganzheitliches Risikomanagement

Dürr, Holger; Ender, Manuela - In: Risiko-Manager (2009) 5, pp. 14-19

Persistent link: https://www.econbiz.de/10003810323

Approximationen erster Ordnung für operationelle Risiken unter Abhängigkeiten

Böcker, Klaus; Klüppelberg, Claudia - In: Risikomanagement und kapitalmarktorientierte …, (pp. 403-420). 2009

Persistent link: https://www.econbiz.de/10003861248

The one-factor Gaussian copula applied to CDOs : just say NO (or, if you see a correlation smile, she is laughing at your "results")

Cifuentes, Arturo; Katsaros, Georgios - In: The journal of structured finance 13 (2007/08) 3, pp. 60-71

Persistent link: https://www.econbiz.de/10003862373

A comparative analysis of CDO pricing models under the factor copula framework

Burtschell, Xavier; Gregory, Jon; Laurent, Jean-Paul - In: The journal of derivatives : the official publication … 16 (2008/09) 4, pp. 9-37

Persistent link: https://www.econbiz.de/10003862752

Long memory and tail dependence in trading volume and volatility

Rossi, Eduardo; Santucci de Magistris, Paolo - 2009

Persistent link: https://www.econbiz.de/10003863172

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