SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Tails of correlation mixtures of elliptical copulas · Study

ArticleShelves

ArticleTails of correlation mixtures of elliptical copulas

Hans Manner2010

Article2010

Tails of correlation mixtures of elliptical copulas

Hans Manner · Johan Segers

48 citations·0/0 files stored·Insurance Mathematics and Economics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Stochastic processes and financial applications Probability and Risk Models

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 48 citations exist upstream.

References

2002Dynamic Conditional Correlation 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2002Correlation and Dependence in Risk Management: Properties and Pitfalls 1995Is the correlation in international equity returns constant: 1960–1990?2007Modelling Financial Time Series 2007The t Copula and Related Copulas 1999Dependence Measures for Extreme Value Analyses

Cited by

2015Are benefits from oil–stocks diversification gone? New evidence from a dynamic copula and high frequency data 2016Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models 2014Copulas, diagonals, and tail dependence 2019Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures 2011Exact tail asymptotics in bivariate scale mixture models 2013Extremes and products of multivariate AC-product risks

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2008New Evidence of Asymmetric Dependence Structures in International Equity Marketsarticle · 7 shared references 2012A Survey on Time-Varying Copulas: Specification, Simulations, and Applicationarticle · 7 shared references 2010Copula-Based Measures of Multivariate Associationchapter · 7 shared references 2011Efficient Bayesian inference for stochastic time-varying copula modelsarticle · 7 shared references 2009Copula–Based Models for Financial Time Serieschapter · 6 shared references 2010Dynamic stochastic copula models: estimation, inference and applicationsarticle · 6 shared references

Details

Year2010

Typearticle

Published2010-11-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations48

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.insmatheco.2010.10.010

openalex_workW2120128522

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2018Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae