A new algorithm based on copulas for VaR valuation with empirical calculations (Q883999): Difference between revisions

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-.1016/j.tcs.2007.02.038
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+On two dependent individual risk models.
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+Q3265202
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+On the multivariate probability integral transformation
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+Hutchinson -- Lai's conjecture for bivariate extreme value copulas.
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+Fitting bivariate cumulative returns with copulas
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+Dependence and order in families of Archimedean copulas
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+Distribution functions of copulas: A class of bivariate probability integral transforms
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+Distribution functions of multivariate copulas.
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+Improved rank-based dependence measures for categorical data.
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+Supermodular dependence ordering on a class of multivariate copulas
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@@ Property / DOI @@
+.1016/J.TCS.2007.02.038
@@ Property / DOI: 10.1016/J.TCS.2007.02.038 / rank @@
+Normal rank