Copulas: an Open Field for Risk Management
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|Date of creation:||2001|
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Journal of Economic Dynamics and Control,
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- Ruipeng Liu & T. Di Matteo & Thomas Lux, 2007. "True and Apparent Scaling: The Proximity of the Markov-Switching Multifractal Model to Long-Range Dependence," Papers 0704.1338, arXiv.org.
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- Reiner Franke, 2008. "A Short Note on the Problematic Concept of Excess Demand in Asset Pricing Models with Mean-Variance Optimization," Working Papers wp08-02, Warwick Business School, Finance Group.
- Klaus Abberger, 2005. "A simple graphical method to explore tail-dependence in stock-return pairs," Applied Financial Economics, Taylor & Francis Journals, vol. 15(1), pages 43-51.
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- Li, Meng & Yang, Liang, 2013. "Modeling the volatility of futures return in rubber and oil—A Copula-based GARCH model approach," Economic Modelling, Elsevier, vol. 35(C), pages 576-581.
- Giacomo Raffaelli & Matteo Marsili, 2006. "Risk bubbles and market instability," Working Papers wp06-22, Warwick Business School, Finance Group.
- Manner Hans, 2007. "Estimation and Model Selection of Copulas with an Application to Exchange Rates," Research Memorandum 056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
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