Crisis and risk dependencies
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Publication:2253371
DOI10.1016/J.EJOR.2012.06.024zbMATH Open1292.91192OpenAlexW2010522208MaRDI QIDQ2253371FDOQ2253371
Authors: Peter Grundke, Simone Polle 
Publication date: 27 July 2014
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2012.06.024
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
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- Copulas, goodness-of-fit tests and measurement of stochastic dependencies before and during the financial crisis
Cited In (11)
- Crisis contracts
- Liquidity tail risk and credit default swap spreads
- A comparison of tail dependence estimators
- Copulas, goodness-of-fit tests and measurement of stochastic dependencies before and during the financial crisis
- Construction of asymmetric copulas and its application in two-dimensional reliability modelling
- 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
- Smooth nonparametric Bernstein vine copulas
- Convergence results for patchwork copulas
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