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Hofert, Marius; Ziegel, Johanna - In: Risks : open access journal 9 (2021) 4, pp. 1-24

The new class of matrix-tilted Archimedean copulas is introduced. It combines properties of Archimedean and elliptical copulas by introducing a tilting matrix in the stochastic representation of Archimedean copulas, similar to the Cholesky factor for elliptical copulas. Basic properties of this...

Persistent link: https://www.econbiz.de/10012508692

Multivariate option pricing using dynamic copula models

Goorbergh, Rob Willem Jean van den (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001871136

Goodness-of-fit tests for copulas : a review and a power study

Genest, Christian; Rémillard, Bruno; Beaudoin, David - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 199-213

Persistent link: https://www.econbiz.de/10009517643

Estimating copula densities through wavelets

Genest, Christian; Masiello, Esterina; Tribouley, Karine - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 170-181

Persistent link: https://www.econbiz.de/10009517645

Rank-based inference tools for copula regression, with property and casualty insurance applications

Côté, Marie-Pier; Genest, Christian; Omelka, Marek - In: Insurance / Mathematics & economics 89 (2019), pp. 1-15

Persistent link: https://www.econbiz.de/10012133498

A law of uniform seniority for dependent lives

Genest, Christian; Kolev, Nikolai - In: Scandinavian actuarial journal 2021 (2021) 8, pp. 726-743

Persistent link: https://www.econbiz.de/10012653669

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