Editorial to special issue Frontiers of Data Analysis. [PDF]
J Appl Stat, 2021 Jin Z, Sun J.
europepmc +1 more source
Is Tether a safe haven of safe haven amid COVID-19? An assessment against Bitcoin and oil using improved measures of risk. [PDF]
Resour Policy, 2022 Syuhada K +4 more
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A D-vine copula-based quantile regression model with spatial dependence for COVID-19 infection rate in Italy. [PDF]
Spat Stat, 2022 D'Urso P, De Giovanni L, Vitale V.
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Archimedean Copula, generator and association parameter.
, 2013 Archimedean Copula, generator and association parameter.
Junlin Liu (483138) +5 more
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Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach [PDF]
In the present study we assess the dependency structure between stock indexes by econometrically estimating the empirical copula function and the parameters of various parametric copula functions.
Necula, Ciprian
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Modeling risk dependence and portfolio VaR forecast through vine copula for cryptocurrencies. [PDF]
PLoS One, 2020 Syuhada K, Hakim A.
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Dynamic stochastic copula models: Estimation, inference and applications [PDF]
We propose a new dynamic copula model where the parameter characterizing dependence follows an autoregressive process. As this model class includes the Gaussian copula with stochastic correlation process, it can be viewed as a generalization of ...
Hafner, Christian M., Manner, Hans
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Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three parameters ...
Barbara Choroś +2 more
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Can crop yield risk be globally diversified? [PDF]
In 2007 and 2008 world food markets observed a significant price boom. Crop failures simultaneously occurring in some of the world’s major production regions have been quoted as one factor among others for the price boom.
Wei Xu, Martin Odening, Xiaoliang Liu
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Risk aggregation, dependence structure and diversification benefit [PDF]
Insurance and reinsurance live and die from the diversification benefits or lack of it in their risk portfolio. The new solvency regulations allow companies to include them in their computation of risk-based capital (RBC).
Bürgi, Roland +2 more
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