Gaussian approximation of conditional elliptical copulas

DOI10.1016/j.jmva.2012.04.017zbMath1259.62039OpenAlexW1969366443MaRDI QIDQ444996

Enkelejd Hashorva, Piotr Jaworski

Publication date: 24 August 2012

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2012.04.017

zbMATH Keywords

conditional copulasGumbel max-domain of attractiontruncation of the first variableunivariate conditioning

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items

Asymptotics of multivariate conditional risk measures for Gaussian risks ⋮ Conditioning of copulas: transformations, invariance and measures of concordance ⋮ Approximation of some multivariate risk measures for Gaussian risks ⋮ Univariate conditioning of vine copulas

Uses Software

• QRM

Cites Work

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