Pages that link to "Item:Q2871286"

The following pages link to Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 (Q2871286):

Displayed 31 items.

• Selecting and estimating regular vine copulae and application to financial returns (Q80568) ‎ (← links)
• Factor copula models for multivariate data (Q391802) ‎ (← links)
• A closed-form universal trivariate pair-copula (Q499766) ‎ (← links)
• Copula directed acyclic graphs (Q517376) ‎ (← links)
• Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas (Q1648677) ‎ (← links)
• Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk (Q1656799) ‎ (← links)
• Structure learning in Bayesian networks using regular vines (Q1659079) ‎ (← links)
• Model distances for vine copulas in high dimensions (Q1702012) ‎ (← links)
• Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems (Q1730697) ‎ (← links)
• Testing for structural breaks in factor copula models (Q1739863) ‎ (← links)
• Conditional copula simulation for systemic risk stress testing (Q2015640) ‎ (← links)
• Modelling mortality dependence: an application of dynamic vine copula (Q2038244) ‎ (← links)
• Copula shrinkage and portfolio allocation in ultra-high dimensions (Q2098001) ‎ (← links)
• Modeling vine-production function: an approach based on vine copula (Q2162548) ‎ (← links)
• Early warnings indicators of financial crises via auto regressive moving average models (Q2198492) ‎ (← links)
• Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios (Q2288967) ‎ (← links)
• Truncation of vine copulas using fit indices (Q2350036) ‎ (← links)
• Efficient information based goodness-of-fit tests for vine copula models with fixed margins: a comprehensive review (Q2350037) ‎ (← links)
• Structured factor copula models: theory, inference and computation (Q2350038) ‎ (← links)
• Portfolio optimization for inventory financing: copula-based approaches (Q2669576) ‎ (← links)
• Construction of leading economic index for recession prediction using vine copulas (Q2700564) ‎ (← links)
• Selection of Vine Copulas (Q2849522) ‎ (← links)
• Representing Sparse Gaussian DAGs as Sparse R-Vines Allowing for Non-Gaussian Dependence (Q3391116) ‎ (← links)
• Smooth nonparametric Bernstein vine copulas (Q4555067) ‎ (← links)
• A mixed C-vine copula model for hedging price and volumetric risk in wind power trading (Q4555165) ‎ (← links)
• Statistical arbitrage with vine copulas (Q4619524) ‎ (← links)
• Extreme dependence in investor attention and stock returns – consequences for forecasting stock returns and measuring systemic risk (Q4991032) ‎ (← links)
• A multivariate volatility vine copula model (Q5034252) ‎ (← links)
• Efficient Bayesian Inference for Nonlinear State Space Models With Univariate Autoregressive State Equation (Q5066000) ‎ (← links)
• (Q5121469) ‎ (← links)
• MODELLING MORTALITY DEPENDENCE WITH REGIME-SWITCHING COPULAS (Q5379412) ‎ (← links)