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Modeling asset returns
Document Title Author Issue Date
Asymmetric Increasing Trends in Dependence in In.. [Okimoto, Tatsuyoshi] 6-15-2014
When the U.S. Stock Market Becomes Extreme? [Aboura, Sofiane] 5-31-2014
Nonparametric Tests for Constant Tail Dependence.. [Bucher, Axel][Jaschke, Stefan R.][Wied, Dominik] 4-25-2014
On the Frequency Patterns of Rises and Falls [Luck, Jean-Marc] 4-21-2014
Extreme Dependence for Multivariate Data [Galichon, Alfred][Bosc, Damian] 4-9-2014
Modelling Tail Dependence Between Energy Market .. [Pan, Zhiyuan] 4-9-2014
Modeling Clusters of Extreme Values [Markovich, Natalia M.] 3-24-2014
Semiparametric Density Forecasts of Daily Financ.. [Olmo, Jose][Hallam, Mark] 3-9-2014
Truncated Regular Vines in High Dimensions with .. [Brechmann, Elke C.][Czado, Claudia][Aas, Kjersti] 3-1-2014
Selecting and Estimating Regular Vine Copulae an.. [Brechmann, Elke C.][Czado, Claudia][Kurowicka, Dorota][Dissmann, Jeffrey] 3-1-2014
Co-dependence of Extreme Events in High Frequenc.. [Polanski, Arnold][Stoja, Evarist] 2-23-2014
Systematic Tail Risk [van Oordt, Maarten R.C.][Zhou, Chen] 12-22-2013
Financial Market Volatility and Contagion Effect.. [Chen, Wang][Wei, Yu][Lin, Yu][Lang, Qiaoqi] 12-22-2013
Multivariate Patchwork Copulas: A Unified Approa.. [Durante, Fabrizio][Sempi, Carlo][Sanchez, Juan Fernandez] 11-3-2013
Co-movements of GCC Emerging Stock Markets: New .. [Aloui, Chaker][Hkiri, Besma] 11-2-2013
Black Swans and VaR [Adams, Michael][Thornton, Barry] 10-27-2013
Non-stationarity in Financial Time Series: Gener.. [Guhr, Thomas][Schaefer, Rudi][Chetalova, Desislava][Schmitt, Thilo A.] 10-12-2013
Theoretical and Empirical properties of Dynamic .. [Engle, Robert][Sheppard, Kevin] 10-8-2013
Is the Potential for International Diversificati.. [Christoffersen, Peter][Jacobs, Kris][Langlois, Hugues][Errunza, Vihang] 9-28-2013
VaR Constrained Asset Pricing with Relative Perf.. [Liu, Xiangbo][Qiu, Zhigang][Xiong, Yan] 8-9-2013
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