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An R-vine copula analysis of non-ferrous metal futures with application in Value-at-Risk forecasting
Han, Xuyuan; Liu, Zhenya; Wang, Shixuan - In: Journal of commodity markets 25 (2022), pp. 1-24
Persistent link: https://www.econbiz.de/10013204443
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Asymmetric forecast densities for U.S. macroeconomic variables from a Gaussian copula model of cross-sectional and serial dependence
Smith, Michael S.; Vahey, Shaun P. - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 3, pp. 416-434
Persistent link: https://www.econbiz.de/10011691656
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High-dimensional copula-based distributions with mixed frequency data
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of econometrics 193 (2016) 2, pp. 349-366
Persistent link: https://www.econbiz.de/10011704954
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Prediction of risk : decoding the serial dependence of stock return volatility with copula
Zhu, Liang; Lim, Christine; Zhang, Jianlun - In: Journal of hospitality & tourism research : JHTR ; the … 45 (2021) 1, pp. 6-27
Persistent link: https://www.econbiz.de/10012426080
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On the relation between extremal dependence and concomitants
Khorrami Chokami, Amir; Kratz, Marie - 2023
Persistent link: https://www.econbiz.de/10014327421
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On multivariate extensions of the conditional value-at-risk measure
Di Bernardino, Elena; Fernández-Ponce, J. M.; … - In: Insurance / Mathematics & economics 61 (2015), pp. 1-16
Persistent link: https://www.econbiz.de/10010515946
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A test for the portion of bivariate dependence in multivariate tail risk
Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - 2014
the stable tail dependence function, which is standard in extreme value theory for describing multivariate tail dependence …
Persistent link: https://www.econbiz.de/10010246746
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On multivariate extensions of Conditional-Tail-Expectation
Cousin, Areski; Di Bernardino, Elena - In: Insurance / Mathematics & economics 55 (2014), pp. 272-282
Persistent link: https://www.econbiz.de/10010366166
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A note on upper tail behavior of Liouville copulas
Hua, Lei - In: Risks : open access journal 4 (2016) 4, pp. 1-10
The family of Liouville copulas is defined as the survival copulas of multivariate Liouville distributions, and it covers the Archimedean copulas constructed by Williamson’s d-transform. Liouville copulas provide a very wide range of dependence ranging from positive to negative dependence in...
Persistent link: https://www.econbiz.de/10011556499
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Calibrating probability distributions with convex-concave-convex functions : application to CDO pricing
Veremyev, Alexander; Tsyurmasto, Peter; Uryasev, Stan; … - In: Computational Management Science : CMS 11 (2014) 4, pp. 341-364
Persistent link: https://www.econbiz.de/10010437154