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Numerically accelerated importance sampling for nonlinear non-Gaussian state space models
Koopman, Siem Jan; Lucas, André; Scharth, Marcel - 2011
Persistent link: https://www.econbiz.de/10008938571
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Approximation of bivariate copulas by patched bivariate Fréchet copulas
Zheng, Yanting; Yang, Jingping; Huang, Jianhua Z. - In: Insurance / Mathematics & economics 48 (2011) 2, pp. 246-256
Persistent link: https://www.econbiz.de/10008989331
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Adaptive importance sampling for simulating copula-based distributions
Bee, Marco - In: Insurance / Mathematics & economics 48 (2011) 2, pp. 237-245
Persistent link: https://www.econbiz.de/10008989334
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On Kolmogorov equations for anisotropic multivariate Lévy processes
Reich, N.; Schwab, Christoph; Winter, C. - In: Finance and stochastics 14 (2010) 4, pp. 527-567
Persistent link: https://www.econbiz.de/10008823691
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Families of copulas closed under the construction of generalized linear means
Klein, Ingo; Christa, Florian - 2011
dependence in the sense of Ledford & Tawn. -- copula ; generalized linear means ; Spearman's p ; tail dependence …
Persistent link: https://www.econbiz.de/10008824120
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Stock market confidence and copula-based Markov models
Jovanović, Mario - 2010
Persistent link: https://www.econbiz.de/10008840763
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Archimedean copulas and temporal dependence
Beare, Brendan K. - 2010
We study the dependence properties of stationary Markov chains generated by Archimedean copulas. Under some simple regularity conditions, we show that regular variation of the Archimedean generator at zero and one implies geometric ergodicity of the associated Markov chain. We verify our...
Persistent link: https://www.econbiz.de/10008841929
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Copulas and temporal dependence
Beare, Brendan K. - 2009
Persistent link: https://www.econbiz.de/10008670136
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Pricing distressed CDOs with stochastic recovery
Höcht, Stephan; Zagst, Rudi - In: Review of derivatives research 13 (2010) 3, pp. 219-244
Persistent link: https://www.econbiz.de/10008695890
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Testing for asset market linkages : a new approach based on time-varying copulas
Manner, Hans; Candelon, Bertrand - In: Pacific economic review 15 (2010) 3, pp. 364-384
Persistent link: https://www.econbiz.de/10008696382