Measurement of aggregate risk with copulas

DOI10.1111/J.1368-423X.2005.00173.XMaRDI QIDQ3367416zbMATH OpenFDO

Authors Markus Junker, Angelika May

Publication date 24 January 2006

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1368-423X.2005.00173.X

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites work

• Estimating the tail-dependence coefficient: properties and pitfalls
• Fitting bivariate loss distributions with copulas
• General chi-square goodness-of-fit tests with data-dependent cells
• Multivariate extremes, aggregation and dependence in elliptical distributions
• On the simultaneous associativity of F(x,y) and x+y-F(x,y)

Cited in

(27)

• A goodness of fit test for copulas based on Rosenblatt's transformation
• Goodness-of-fit tests for copulas: A review and a power study
• Jackknife empirical likelihood method for copulas
• Crisis and risk dependencies
• Decision-making from a risk assessment perspective for corporate mergers and acquisitions
• Measuring the coupled risks: A copula-based CVaR model
• On tail dependence: a characterization for first-order max-autoregressive processes
• Estimating the error distribution in multivariate heteroscedastic time-series models
• Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study
• Copula-based grouped risk aggregation under mixed operation.
• Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
• Fitting high-dimensional copulae to data
• On Generators in Archimedean Copulas
• Fragility index of block tailed vectors
• Copula density estimation by total variation penalized likelihood with linear equality constraints
• GENERAL CHARACTERIZATION OF SOME STATISTICAL TOOLS FOR MEASURING ASYMPTOTIC DEPENDENCE
• On the structure and estimation of hierarchical Archimedean copulas
• Additive generators of copulas
• Dependence of Stock Returns in Bull and Bear Markets
• Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
• Generalized information matrix tests for copulas
• Dependence patterns associated with the fundamental diagram: a copula function approach
• Is CSR linked to Idiosyncratic risk? Evidence from the copula approach
• Constructing generalized FGM copulas by means of certain univariate distributions
• Extremes of asymptotically spherical and elliptical random vectors
• Empirical likelihood based confidence intervals for copulas
• The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study

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