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A scalar product for copulas

Siburg, Karl Friedrich (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003581914

Measurement of aggregate risk with copulas

Junker, Markus; May, Angelika - In: The econometrics journal 8 (2005) 3, pp. 428-454

Persistent link: https://www.econbiz.de/10003209190

A new algorithm based on copulas for financial risk calculation with applications to Chinese stock markets

Lin, Ping; Shi, Peng; Huang, Guang-Dong - In: Internet and network economics : first international …, (pp. 481-490). 2005

Persistent link: https://www.econbiz.de/10003276785

The Bernstein copula and its applications to modelling and approximations of multivariate distributions

Sancetta, Alessio; Satchell, Stephen - In: Econometric theory 20 (2004) 3, pp. 535-562

Persistent link: https://www.econbiz.de/10002068268

Modelling credit derivatives

Voort, Martinus Franciscus Antonius van der - 2008

Persistent link: https://www.econbiz.de/10003941299

Comparisons of performance measures for multivariate discrete models

Meinel, Nina - In: Advances in statistical analysis : AStA ; a journal of … 93 (2009) 2, pp. 159-174

Persistent link: https://www.econbiz.de/10003852358

Improving upon the marginal empirical distribuition functions when the copula is known

Segers, Johan (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003736683

Modeling credit dependency

Servigny, Arnaud de - In: The handbook of structured finance, (pp. 137-215). 2007

Persistent link: https://www.econbiz.de/10003727133

Modeling dependencies in finance using copulae

Härdle, Wolfgang (contributor); Okhrin, Ostap (contributor) - 2008

In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the … bivariate framework and discuss the simple, elliptical and Archimedean classes of copulae. Since the copulae model the … dependency structure between random variables, next we explain the link between the copulae and common dependency measures, such …

Persistent link: https://www.econbiz.de/10003727552

Multivariate Copula-Modelle für Finanzmarktdaten : eine simulative und empirische Untersuchung

Köck, Christian - 2008

Persistent link: https://www.econbiz.de/10003717606