Gaussian approximation of conditional elliptical copulas
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Publication:444996
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
conditional copulasGumbel max-domain of attractiontruncation of the first variableunivariate conditioning
Related Items (4)
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
Cites Work
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