المؤلفون: Gholamreza Taghizadegan, Gholamreza Zomorodian, Mirfeiz Fallahshams, Rasoul Saadi

المصدر: تحقیقات مالی, Vol 25, Iss 1, Pp 152-179 (2023)

مصطلحات موضوعية: dynamic copulas, dynamic conditional correlation (dcc), liquidity risk, liquidity-adjusted value-at-risk (lvar), portfolio optimization algorithm, Finance, HG1-9999

وصف الملف: electronic resource

العلاقة: https://jfr.ut.ac.ir/article_92801_8fd4087d8e348db7b461be5a4fa12770.pdfTest; https://doaj.org/toc/1024-8153Test; https://doaj.org/toc/2423-5377Test

الوصول الحر: https://doaj.org/article/dfbdb82fc3844d758a6603bcf6701cd1Test

المؤلفون: Gribisch, Bastian, Eckernkemper, Tobias

مصطلحات موضوعية: ddc:519, CoVaR, dynamic copulas, intraday, systemic risk

العلاقة: Journal: Journal of Forecasting; Volume: 40; Year: 2021; Issue: 5; Pages: 883-910; Hoboken, NJ: Wiley; http://hdl.handle.net/10419/233643Test

الإتاحة: https://doi.org/10.1002/for.2744Test
http://hdl.handle.net/10419/233643Test

المؤلفون: Giovanni Masala

المصدر: Investment Management & Financial Innovations, Vol 15, Iss 2, Pp 60-67 (2018)

مصطلحات موضوعية: DCC model, dependence structure, dynamic copulas, energy markets, MIB stock market, tail dependence, Finance, HG1-9999

وصف الملف: electronic resource

العلاقة: https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/10289/imfi_2018_02_Masala.pdfTest; https://doaj.org/toc/1810-4967Test; https://doaj.org/toc/1812-9358Test

الوصول الحر: https://doaj.org/article/02d696e384fe4bac9815ccd94bbf1595Test

المؤلفون: Paravee Maneejuk, Woraphon Yamaka

المصدر: Mathematics; Volume 7; Issue 11; Pages: 1032

مصطلحات موضوعية: contagion prediction, Google Trends, dynamic copulas, financial crisis

وصف الملف: application/pdf

العلاقة: Financial Mathematics; https://dx.doi.org/10.3390/math7111032Test

الإتاحة: https://doi.org/10.3390/math7111032Test

المؤلفون: Frauendorfer, Karl, Paraschiv, Florentina, Aepli, Matthias D., Füss, Roland

مصطلحات موضوعية: Multivariate dynamic copulas, regime-switching copulas, dynamic conditional correlation (DCC) model, forecast performance, tail dependence, stat, eco

العلاقة: https://www.alexandria.unisg.ch/handle/20.500.14171/107089Test

الإتاحة: https://doi.org/20.500.14171/107089Test
https://www.alexandria.unisg.ch/handle/20.500.14171/107089Test
https://hdl.handle.net/20.500.14171/107089Test

المؤلفون: Bastian Gribisch, Tobias Eckernkemper

المصدر: Journal of Forecasting. 40:883-910

مصطلحات موضوعية: CoVaR, ddc:519, 050208 finance, Index (economics), dynamic copulas, Strategy and Management, 05 social sciences, intraday, Management Science and Operations Research, Computer Science Applications, Copula (probability theory), Data set, Expected shortfall, Nonlinear system, Autoregressive model, Order (exchange), Modeling and Simulation, systemic risk, 0502 economics and business, Jump, Econometrics, 050207 economics, Statistics, Probability and Uncertainty, Mathematics

الوصول الحر: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5dff2042e44a2dbb4e8339ea45625c72Test
https://doi.org/10.1002/for.2744Test

المؤلفون: Edson Bastos e Santos, Nelson Ithiro Tanaka

المصدر: Revista Brasileira de Finanças, Vol 6, Iss 1, Pp 69-111 (2008)

مصطلحات موضوعية: Lévy processes, dynamic copulas, multidimensional options, path-dependent, Finance, HG1-9999

وصف الملف: electronic resource

العلاقة: http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1234Test; https://doaj.org/toc/1679-0731Test; https://doaj.org/toc/1984-5146Test

الوصول الحر: https://doaj.org/article/9d8a04b4c41247ff9fb690b2d7e2a94cTest

المؤلفون: Pallaoro, Franciele Lobo

المساهمون: Torrent, Hudson da Silva

مصطلحات موضوعية: Cópulas : Estatística, Séries temporais, Portfólio, Dynamic copulas, Time series, Factor copulas, Portfolio selection, High dimension

وصف الملف: application/pdf

العلاقة: http://hdl.handle.net/10183/231317Test; 001132157

الإتاحة: http://hdl.handle.net/10183/231317Test

المؤلفون: Stelios Bekiros, Rania Jammazi, Duc Khuong Nguyen, Shawkat Hammoudeh

المصدر: Applied Economics. 50:5031-5049

مصطلحات موضوعية: Risk, Stock-market, Economics and Econometrics, Government bonds, Contagion, Yield spreads, Financial crisis, Monetary economics, Copula (probability theory), Sovereignty, Models, Channels, 0502 economics and business, Economics, C58, G12, 050207 economics, Sovereign debt, Debt crisis, 050208 finance, 05 social sciences, Stochastic dependence, Government bond, E44, H63, Bond market, Stock market, Dynamic copulas, Sovereign debt crisis

الوصول الحر: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::957a9c8721b6f4b691a50735c8672208Test
https://doi.org/10.1080/00036846.2018.1470313Test

المؤلفون: Crépey, Stéphane, Song, Shiqi

المساهمون: Laboratoire de Mathématiques et Modélisation d'Evry (LaMME), Institut National de la Recherche Agronomique (INRA)-Université d'Évry-Val-d'Essonne (UEVE)-Centre National de la Recherche Scientifique (CNRS), This research benefited from the support of the ''Chair Markets in Transition'' under the aegis of Louis Bachelier laboratory, a joint initiative of Ecole polytechnique, Université d'Evry Val d'Essonne and Fédération Bancaire Française.

المصدر: https://hal.science/hal-00989062Test ; 2014.

مصطلحات موضوعية: dynamic copulas, Counterparty risk, funding, reduced-form credit modeling, BSDE, immersion, invariant times, wrong-way risk, gap risk, collateral, credit derivatives, MSC 60G07, 60G44, 60H10, 91G40, 91G20, 91G80,91G60, [MATH.MATH-PR]Mathematics [math]/Probability [math.PR], [QFIN.CP]Quantitative Finance [q-fin]/Computational Finance [q-fin.CP]

العلاقة: hal-00989062; https://hal.science/hal-00989062Test; https://hal.science/hal-00989062v2/documentTest; https://hal.science/hal-00989062v2/file/marks-REVISED.pdfTest

الإتاحة: https://hal.science/hal-00989062Test
https://hal.science/hal-00989062v2/documentTest
https://hal.science/hal-00989062v2/file/marks-REVISED.pdfTest