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Estimation and model selection of copulas with an application to exchange rates
Manner, Hans - 2007
Persistent link: https://www.econbiz.de/10003647709
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Modeling of CDO squareds : capturing the second dimension
Dorn, Jochen - In: The journal of fixed income 17 (2007) 2, pp. 27-45
Persistent link: https://www.econbiz.de/10003628175
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A copula approach to value-at-risk estimation for fixed-income portfolios
Martellini, Lionel; Meyeredi, Jean-Christophe - In: The journal of fixed income 17 (2007) 1, pp. 5-15
Persistent link: https://www.econbiz.de/10003502367
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Characterizing dependence in financial series
Chollete, Lorán - 2004
Persistent link: https://www.econbiz.de/10003549398
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Three essays on health insurance arrangements among married couples
Zimmer, David M. - 2004
Persistent link: https://www.econbiz.de/10003550297
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Copula modeling : an introduction for practitioners
Trivedi, Pravin K.; Zimmer, David M. - 2007
Persistent link: https://www.econbiz.de/10003553428
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Dépendance non-monotone : une application à la relation rendement-volume
Neto, David - In: Annales d'économie et de statistique 82 (2006), pp. 187-216
Persistent link: https://www.econbiz.de/10003511010
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Copula-based measures of dependence structure in assets returns
Fernández, Viviana (contributor) - 2006
Persistent link: https://www.econbiz.de/10003390472
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Gluing copulas
Siburg, Karl Friedrich (contributor);  … - 2007
We present a new way of constructing bivariate copulas, by recalling and gluing two (or more) copulas. Examples illustrate how this construction can be applied to build complicated copulas from simple ones.
Persistent link: https://www.econbiz.de/10003581911