The amount of data available in banking, finance and economics steadily increases due to the ongoing technological progress and the continuing digitalization. A key element of many econometric models for analyzing this data are methods for assessing dependencies, cross-sectionally as well as intertemporally. For this reason, the thesis is centered around statistical and econometric methods for dependence modeling with applications in financial econometrics. The first part of this cumulative dissertation consists of three contributions. The first contribution provides a thorough explanation of the partial copula. It is a natural generalization of the partial correlation coefficient and several of its properties are investigated. In the seco...
In financial risk management it is essential to be able to model dependence in markets and portfolio...
This paper features an application of Regular Vine copulas which are a novel and recently developed ...
This paper features an application of Regular Vine copulas which are a novel and recently developed ...
The amount of data available in banking, finance and economics steadily increases due to the ongoing...
Modelling the dependence structure of financial variables is of paramount importance for a wide rang...
Understanding and quantifying dependence is at the core of all modelling efforts in the areas of ins...
University of Technology Sydney. Faculty of Engineering and Information Technology.In the age of inf...
Abstract: This paper features an application of Regular Vine copulas which are a novel and recently...
Copula functions have been widely used in actuarial science, nance andeconometrics. Though multivari...
Copula modeling has been attracting substantial interest during the last several decades and is beco...
Concepts of association or dependence play a central role when considering multiple random sources i...
With the advent of globalization and the recent financial turmoil, the interest for the analysis of ...
This thesis contains three essays on dependence modelling with high dimension vine copulas and its a...
This paper is concerned with the statistical modeling of the dependence structure in the ¯rst and se...
Understanding the complex nature of financial markets is still a great challenge. In particular, a c...
In financial risk management it is essential to be able to model dependence in markets and portfolio...
This paper features an application of Regular Vine copulas which are a novel and recently developed ...
This paper features an application of Regular Vine copulas which are a novel and recently developed ...
The amount of data available in banking, finance and economics steadily increases due to the ongoing...
Modelling the dependence structure of financial variables is of paramount importance for a wide rang...
Understanding and quantifying dependence is at the core of all modelling efforts in the areas of ins...
University of Technology Sydney. Faculty of Engineering and Information Technology.In the age of inf...
Abstract: This paper features an application of Regular Vine copulas which are a novel and recently...
Copula functions have been widely used in actuarial science, nance andeconometrics. Though multivari...
Copula modeling has been attracting substantial interest during the last several decades and is beco...
Concepts of association or dependence play a central role when considering multiple random sources i...
With the advent of globalization and the recent financial turmoil, the interest for the analysis of ...
This thesis contains three essays on dependence modelling with high dimension vine copulas and its a...
This paper is concerned with the statistical modeling of the dependence structure in the ¯rst and se...
Understanding the complex nature of financial markets is still a great challenge. In particular, a c...
In financial risk management it is essential to be able to model dependence in markets and portfolio...
This paper features an application of Regular Vine copulas which are a novel and recently developed ...
This paper features an application of Regular Vine copulas which are a novel and recently developed ...