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Multivariate GARCH and dynamic copula models for financial time series : with an application to emerging markets
Grziska, Martin - 2015 - 1. Aufl.
Persistent link: https://www.econbiz.de/10010488311
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Copula goodness-of-fit testing : an overview and power comparison
Berg, Daniel - In: The European journal of finance 15 (2009) 7/8, pp. 675-701
Persistent link: https://www.econbiz.de/10003924428
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Special issue: Copulae and multivariate probability distributions in finance
Dias, Alexandra (contributor) - 2009
Persistent link: https://www.econbiz.de/10003924434
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Copulae and multivariate probability distributions in finance
Dias, Alexandra da Costa (ed.) - 2013
Persistent link: https://www.econbiz.de/10009729213
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Nonparametric methods in economics and finance : dependence, causality and prediction
Panchenko, Valentyn - 2006
Persistent link: https://www.econbiz.de/10003379623
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The advent of copulas in finance
Genest, Christian; Gendron, Michel; Bourdeau-Brien, … - In: The European journal of finance 15 (2009) 7/8, pp. 609-618
Persistent link: https://www.econbiz.de/10003924409
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Goodness-of-fit tests for parametric families of Archimedean copulas
Trede, Mark; Savu, Cornelia - 2004
Persistent link: https://www.econbiz.de/10002688693
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Credit risk modelling and estimation via elliptical copulae
Schmidt, Rafael - In: Credit risk : measurement, evaluation and management ; …, (pp. 267-289). 2003
Persistent link: https://www.econbiz.de/10002002400
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Quantitative risk management : concepts, techniques and tools
McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul - 2005
Persistent link: https://www.econbiz.de/10002934295
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Modelling credit default swap spreads by means of normal mixtures and copulas
Bee, Marco - In: Applied mathematical finance 11 (2004) 2, pp. 125-146
Persistent link: https://www.econbiz.de/10002085490