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Search Result for: (copula)
Document Title Author Issue Date
Forecasting VaR and ES of Stock Index Portfolio:.. [Wei, Yu][Zhang, Bangzheng][Yu, Jiang][Lai, Xiaodong][Peng, Zhengeng] 8-25-2014
Managing Risk with a Realized Copula Parameter [Fengler, Matthias][Okhrin, Ostap] 8-3-2014
Second Order Risk Aggregation with the Bernstein.. [Coqueret, Guillaume] 7-19-2014
On Some Properties of Two Vector-Valued VaR and .. [Hurlimann, Werner] 6-22-2014
Quantifying the Risk Using Copulae with Nonparam.. [Bolance, Catalina][Bahraoui, Zuhair][Artis, Manuel] 6-21-2014
Measuring Systemic Risk in the European Banking .. [Nomikos, Nikos][Karimalis, Emmanouil] 5-31-2014
Portfolio Optimization with a Copula-Based Exten.. [Krzemienowski, Adam][Szymczyk, Sylwia] 5-26-2014
Distorted Mix Method for Constructing Copulas wi.. [Yang, Jingping][Li, Lujun][Yuen, K.C.] 5-25-2014
Value-at-Risk Based on Extreme Value Theory Meth.. [Avdulaj, Krenar] 5-14-2014
Selecting and Estimating Regular Vine Copulae an.. [Brechmann, Elke C.][Czado, Claudia][Kurowicka, Dorota][Dissmann, Jeffrey] 3-1-2014
Integrating Credit and Market Risk: A Factor Cop.. [Zhu, Xiaoqian][Sun, Xiaolei][Chen, Jianming][Li, Jianping][Liang, Changzhi][Li, Yilin] 2-23-2014
Estimation of Risk Measures in Energy Portfolios.. [Jaschke, Stefan R.] 2-2-2014
Dynamic Structured Copula Models [Hardle, Wolfgang][Okhrin, Ostap][Okhrin, Yarema] 12-29-2013
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
A New Algorithm Based on Copulas for VaR Valuati.. [Li, Ping][Cheng, Gang][Shi, Peng] 10-6-2013
Risk Aggregation by a Copula with a Stressed Con.. [Yoshiba, Toshinao] 9-28-2013
Estimating the Portfolio Risk with Copula-GARCH-.. [Li, Ting][Zhang, Zhigang][Zhao, Lutao] 9-14-2013
The Application of Generalized Pareto Distributi.. [Skutnik, Tomasz][Basiaga, Krzysztof] 9-7-2013
A Mixed Approach to Risk Aggregation using Heira.. [Skoglund, Jimmy][Erdman, Donald][Chen, Wei] 8-29-2013
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