Choroś, Barbara; Härdle, Wolfgang; Okhrin, Ostap - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009
performed using the iTraxx Euro index series 8
with the maturity of 5 years. The series 8 was issued on 20th September 2007 and … of a copula and the marginal
distribution functions F1,...,Fd
F(x1,...,xd) = C{F1(x1),...,Fd(xd)}.
A survey over the …