Crisis and risk dependencies
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Publication:2253371
Recommendations
- Copulas, goodness-of-fit tests and measurement of stochastic dependencies before and during the financial crisis
- Testing Goodness of Fit for Parametric Families of Copulas—Application to Financial Data
- Testing the Gaussian copula hypothesis for financial assets dependences
- Extreme Financial Risks
- Pitfalls in modelling dependence structures: explorations with copulas
Cites work
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 5080942 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- A goodness of fit test for copulas based on Rosenblatt's transformation
- Bayesian copula selection
- Comparison of estimators for pair-copula constructions
- Copulas, goodness-of-fit tests and measurement of stochastic dependencies before and during the financial crisis
- Dependence structures for multivariate high-frequency data in finance
- Goodness-of-fit tests for copulas: A review and a power study
- Measurement of aggregate risk with copulas
- Pair-copula constructions of multiple dependence
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
- Remarks on a Multivariate Transformation
- Testing the Gaussian copula hypothesis for financial assets dependences
- The t Copula and Related Copulas
- Top-down approaches for integrated risk management: how accurate are they?
- Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Vines -- a new graphical model for dependent random variables.
Cited in
(11)- Crisis contracts
- Liquidity tail risk and credit default swap spreads
- A comparison of tail dependence estimators
- Construction of asymmetric copulas and its application in two-dimensional reliability modelling
- Copulas, goodness-of-fit tests and measurement of stochastic dependencies before and during the financial crisis
- Measuring dependence in a set of asset returns
- Impact of liquidity risk on variations in efficiency and productivity: a panel gamma simulated maximum likelihood estimation
- Measuring rank correlation coefficients between financial time series: a GARCH-copula based sequence alignment algorithm
- Corporate credit risk counter-cyclical interdependence: a systematic analysis of cross-border and cross-sector correlation dynamics
- Convergence results for patchwork copulas
- Smooth nonparametric Bernstein vine copulas
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