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Econometrics and risk management
Fouque, Jean-Pierre (ed.); Fomby, Thomas B. (ed.);  … - 2008 - 1. ed.
Persistent link: https://www.econbiz.de/10003793159
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Heavy tails and copulas : topics in dependence modelling in economics and finance
Ibragimov, Rustam Ju.; Prokhorov, Artem - 2017
Persistent link: https://www.econbiz.de/10011444599
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Convolution copula econometrics
Cherubini, Umberto; Gobbi, Fabio; Mulinacci, Sabrina - 2016 - 1st ed. 2016
Persistent link: https://www.econbiz.de/10011580408
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Estimation and model selection of copulas with an application to exchange rates
Manner, Hans - 2007
Persistent link: https://www.econbiz.de/10003647709
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Out-of-sample comparison of Copula specifications in multivariate density forecasts
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008
Persistent link: https://www.econbiz.de/10003787159
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Out-of-sample comparison of copula specifications in multivariate density forecasts
Diks, Cees G. H. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003798233
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Modeling within- and across-customer association in lifetime value with copulas
Glady, Nicolas; Lemmens, Aurélie; Croux, Christophe - 2010
Persistent link: https://www.econbiz.de/10008664215
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Time varying adaptive copulae and dynamic semiparametric factor models with applications in finance
Giacomini, Enzo - 2009
Persistent link: https://www.econbiz.de/10003931427
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Applying copula models to individual claim loss reserving methods
Zhao, XiaoBing; Zhou, Xian - In: Insurance / Mathematics & economics 46 (2010) 2, pp. 290-299
Persistent link: https://www.econbiz.de/10003966588
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Out-of-sample comparison of copula specifications in multivariate density forecasts
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008
We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...
Persistent link: https://www.econbiz.de/10011377261