Pages that link to "Item:Q6623173"
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The following pages link to Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (Q6623173):
Displaying 12 items.
- Modelling volatility dependence with score copula models (Q6553228) (← links)
- Comparison of score-driven equity-gold portfolios during the COVID-19 pandemic using model confidence sets (Q6553231) (← links)
- Fast estimation of a large TVP-VAR model with score-driven volatilities (Q6556130) (← links)
- Copulae: an overview and recent developments (Q6602358) (← links)
- Comparing and quantifying tail dependence (Q6607486) (← links)
- Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets (Q6617811) (← links)
- A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics (Q6617813) (← links)
- Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings (Q6617825) (← links)
- Modeling Multivariate Time Series With Copula-Linked Univariate D-Vines (Q6620894) (← links)
- The Effect of Dependence on European Market Risk. A Nonparametric Time Varying Approach (Q6620912) (← links)
- Backtesting Systemic Risk Forecasts Using Multi-Objective Elicitability (Q6626218) (← links)
- Modeling Extreme Events: Time-Varying Extreme Tail Shape (Q6626257) (← links)