Conditional copula simulation for systemic risk stress testing (Q2015640): Difference between revisions

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+Pair-copula constructions of multiple dependence
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+Beyond simplified pair-copula constructions
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+On Kendall's process
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+On the simplified pair-copula construction -- simply useful or too simplistic?
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+Likelihood inference for Archimedean copulas in high dimensions under known margins
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+Multivariate T-Distributions and Their Applications
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+Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
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+Dependence structure of conditional Archimedean copulas
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+An introduction to copulas.
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+Simplified pair copula constructions -- limitations and extensions
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+Estimating standard errors in regular vine copula models
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