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An order of asymmetry in copulas, and implications for risk management · Study

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ArticleAn order of asymmetry in copulas, and implications for risk management

Karl Friedrich Siburg2016

Article2016

An order of asymmetry in copulas, and implications for risk management

Karl Friedrich Siburg · Katharina Stehling · Pavel A. Stoimenov · Gregor N. F. Weiß

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

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Financial Risk and Volatility Modeling Risk and Portfolio Optimization Probability and Risk Models

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References

1999An Introduction to Copulas 2007The t Copula and Related Copulas 2006INDIVIDUAL EQUITY RETURN DATA FROM THOMSON DATASTREAM: HANDLE WITH CARE!2012Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach 2008Construction of asymmetric multivariate copulas 2013Copulae in Mathematical and Quantitative Finance 2011Tests of symmetry for bivariate copulas 2013Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads

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Year2016

Typearticle

Published2016-04-08

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations19

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.insmatheco.2016.03.008

openalex_workW2282291503

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