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Dependence structure between oil price volatility and sovereign credit risk of oil exporters : evidence using a Copula approach

Ehouman, Yao Axel - 2020

Persistent link: https://www.econbiz.de/10012437097

Universally marketable insurance under multivariate mixtures

Lo, Ambrose; Tang, Qihe; Tang, Zhaofeng - In: ASTIN bulletin : the journal of the International … 51 (2021) 1, pp. 221-243

Persistent link: https://www.econbiz.de/10012437279

Modeling joint lives within families

Cabrignac, Olivier; Charpentier, Arthur; Gallic, Ewen - 2020

Persistent link: https://www.econbiz.de/10012387206

Overreaction in the REITs market : new evidence from quantile autoregression approach

Ngene, Geoffrey M.; Manohar, Catherine Anitha; Julio, … - In: Journal of risk and financial management : JRFM 13 (2020) 11/282, pp. 1-28

, and inflation hedging to investors. This study employs a quantile autoregression model to investigate the dependence … aggregate effects of the sign and size of returns, business cycles, volatility, and REIT eras on the dependence structure of … daily, weekly, and monthly REIT returns. The study documents asymmetric and misaligned dependence patterns. A bad market …

Persistent link: https://www.econbiz.de/10012388741

The Lithium industry and analysis of the beta term structure of oil companies

Monge, Manuel; Gil-Alaña, Luis A. - In: Risks : open access journal 8 (2020) 4/130, pp. 1-17

results indicate that there is a period of dependence between late 2013 and 2016 that occurs in the long-run frequencies of … market. In the second part of the paper, we study the dynamics of the beta series by using long-run dependence approaches …

Persistent link: https://www.econbiz.de/10012391557

Examining the effects of gradual catastrophes on capital modelling and the solvency of insurers: the case of COVID-19

Tamturk, Muhsin; Cortis, Dominic; Farrell, Mark - In: Risks : open access journal 8 (2020) 4/132, pp. 1-13

This paper models the gradual elements of catastrophic events on non-life insurance capital with a particular focus on the impact of pandemics, such as COVID-19. A combination of actuarial and epidemiological models are handled by the Markovian probabilistic approach, with Feynman's path...

Persistent link: https://www.econbiz.de/10012391664

Vine copula-based dependence and portfolio value-at-risk analysis of the cryptocurrency market

Boako, Gideon; Tiwari, Aviral Kumar; Roubaud, David - In: International economics : a journal published by CEPII … 158 (2019), pp. 77-90

Persistent link: https://www.econbiz.de/10012318740

Extremal economic (inter)dependence studies : a case of the Eastern European countries

Matkovskyy, Roman - In: Journal of quantitative economics 17 (2019) 3, pp. 667-698

Persistent link: https://www.econbiz.de/10012418731

Analysing dynamic dependence between gold and stock returns : evidence using stochastic and full-range tail dependence copula models

Boako, Gideon; Tiwari, Aviral Kumar; Ibrahim, Muazu; … - In: Finance research letters 31 (2019), pp. 391-397

Persistent link: https://www.econbiz.de/10012421744

Changing trends of foreign direct investments in East Central Europe

Szanyi, Miklós - In: Emerging-market multinational enterprises in East …, (pp. 21-47). 2020

Foreign direct investments in East Central Europe played significant role in the economic transition process after 1990. The support of multinational business was a logical choice for most governments to improve and modernize the economy. Despite the various paths taken by the individual...

Persistent link: https://www.econbiz.de/10012414783