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Dependent frequency-severity modeling of insurance claims
Shi, Peng; Feng, Xiaoping; Ivantsova, Anastasia - In: Insurance / Mathematics & economics 64 (2015), pp. 417-428
Persistent link: https://www.econbiz.de/10011398126
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Portfolio optimization with GARCH-EVT-Copula-CVaR models
Huang, Chin-Wen; Hsu, Chun-Pin - In: Banking and finance review 7 (2015) 1, pp. 19-31
Persistent link: https://www.econbiz.de/10011443808
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Estimating hedged portfolio value-at-risk using the conditional copula : an illustration of model risk
Chen, Yi-Hsuan; Tu, Anthony H. - In: International review of economics & finance : IREF 27 (2013), pp. 514-528
Persistent link: https://www.econbiz.de/10009740775
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Currency portfolio risk measurement with generalized autoregressive conditional heteroscedastic-extreme value theory-Copula Model
Omari, Cyprian Ondieki; Mwita, Peter N.; Gichuhi, Antony W. - In: Journal of mathematical finance 8 (2018) 2, pp. 457-477
Persistent link: https://www.econbiz.de/10011875347
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Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures
Gong, Xiao-Li; Liu, Xi-Hua; Xiong, Xiong - In: Pacific-Basin finance journal 55 (2019), pp. 95-109
Persistent link: https://www.econbiz.de/10012169513
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Cryptocurrencies : a copula based approach for asymmetric risk marginal allocations
Jeleskovic, Vahidin; Meloni, Mirko; Younas, Zahid Irshad - 2020
, 1h) are included in the estimation of univariate GARCH models, to be used in combination with copula functions for VaR …
Persistent link: https://www.econbiz.de/10012542685
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Hedging downside risk of oil refineries : a vine copula approach
Sukcharoen, Kunlapath; Leatham, David J. - In: Energy economics 66 (2017), pp. 493-507
Persistent link: https://www.econbiz.de/10011896556
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Analysis of stock markets risk spillover with copula models under the background of Chinese financial opening
Du, Jiangze; Chen, Xizhuo; Gong, Jincheng; Lin, Xiao; … - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 3997-4019
Persistent link: https://www.econbiz.de/10014429264
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Multivariate Copula-Modelle für Finanzmarktdaten : eine simulative und empirische Untersuchung
Köck, Christian - 2008
Persistent link: https://www.econbiz.de/10003717606
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Portfolio construction based on implied correlation information and value at risk
Rogel-Salazar, Jesús; Tella, Roberto - In: EconoQuantum : Revista de Economía y Negocios 12 (2015) 1, pp. 125-144
Persistent link: https://www.econbiz.de/10011558686