Volume 5; Issue 1

Dependence Modeling

Volume 5; Issue 1
1

Multivariate extensions of expectiles risk measures

Maume-Deschamps, Véronique, Rullière, Didier, Said, Khalil
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 655 KB
english, 2017
2

On Conditional Value at Risk (CoVaR) for tail-dependent copulas

Jaworski, Piotr
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 439 KB
english, 2017
3

My introduction to copulas

Durante, Fabrizio, Puccetti, Giovanni, Scherer, Matthias, Vanduffel, Steven
Journal:
Dependence Modeling
Language:
english
File:
PDF, 1.97 MB
english
8

Measuring herd behavior: properties and pitfalls

Lee, Woojoo, Ahn, Jae Youn
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 453 KB
english, 2017
9

A simple non-parametric goodness-of-fit test for elliptical copulas

Jaser, Miriam, Haug, Stephan, Min, Aleksey
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 1.43 MB
english, 2017
10

Dependent defaults and losses with factor copula models

Ackerer, Damien, Vatter, Thibault
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 1.02 MB
english, 2017
13

A joint regression modeling framework for analyzing bivariate binary data in R

Marra, Giampiero, Radice, Rosalba
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 1.27 MB
english, 2017
14

Copula-Based Dependence Measures For Piecewise Monotonicity

Liebscher, Eckhard
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 531 KB
english, 2017
15

VaR bounds in models with partial dependence information on subgroups

Rüschendorf, Ludger, Witting, Julian
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 421 KB
english, 2017
16

On Truncation Invariant Copulas and their Estimation

Jaworski, Piotr
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 1.12 MB
english, 2017
17

The Vine Philosopher

Durante, Fabrizio, Puccetti, Giovanni, Scherer, Matthias, Vanduffel, Steven
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 2.50 MB
english, 2017
18

A two-component copula with links to insurance

Ismail, S., Yu, G., Reinert, G., Maynard, T.
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 887 KB
english, 2017
19

CMPH: a multivariate phase-type aggregate loss distribution

Ren, Jiandong, Zitikis, Ricardas
Journal:
Dependence Modeling
Year:
2017
Language:
english
File:
PDF, 524 KB
english, 2017