Similar Search Results - EconBiz

Gaussian Slug - Simple Nonlinearity Enhancement to the 1-Factor and Gaussian Copula Models in Finance, with Parametric Estimation and Goodness-of-Fit Tests on US and Thai Equity Data

Nacaskul, PhD, DIC, CFA, Poomjai - 2016

A bivariate normal distribution, with the attendant non-analytically integrable p.d.f., lies at the hearts of many financial theories. Its derived Gaussian copula ostensibly does away with the normality assumptions, only to retain the linear (Pearson's) correlation measure implicit to said...

Persistent link: https://www.econbiz.de/10013009170

Non-Gaussian models for CoVaR estimation

Bianchi, Michele Leonardo; De Luca, Giovanni; … - In: International journal of forecasting 39 (2023) 1, pp. 391-404

Persistent link: https://www.econbiz.de/10014462788

Specification tests for non-Gaussian structural vector autoregressions

Amengual, Dante; Fiorentini, Gabriele; Sentana, Enrique - 2022

Persistent link: https://www.econbiz.de/10013540674

Statistics for copula-based measures of multivariate association : theory and applications to financial data

Gaißer, Sandra Caterina - 2011

Persistent link: https://www.econbiz.de/10009125241

The joint distribution of stock returns is not elliptical

Chicheportiche, Rémy; Bouchaud, Jean-Philippe - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-23

Persistent link: https://www.econbiz.de/10009624498

Constructing discrete unbounded distributions with Gaussian-copula dependence and given rank correlation

Avramidis, Athanassios N. - In: INFORMS journal on computing : JOC 26 (2014) 2, pp. 269-279

Persistent link: https://www.econbiz.de/10010362443

Risk aggregation with copula for banking industry

Yoshiba, Toshinao - 2015

Persistent link: https://www.econbiz.de/10011375924

Dynamic linkages in agricultural and energy markets : a quantile impulse response approach

Wang, Linjie; Chavas, Jean-Paul; Li, Jian - In: Agricultural economics : the journal of the … 55 (2024) 4, pp. 639-676

Persistent link: https://www.econbiz.de/10015133207

Using copulae to bound the Value-at-Risk for functions of dependent risks

Embrechts, Paul; Höing, Andrea; Juri, Alessandro - In: Finance and stochastics 7 (2003) 2, pp. 145-167

Persistent link: https://www.econbiz.de/10001762730

Goodness of fit tests for copulas

Fermanian, Jean-David - 2003

Persistent link: https://www.econbiz.de/10001812439

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