Fast solution of the Gaussian copula model

DOI10.1016/S0731-9053(08)22001-3MaRDI QIDQ3572004zbMATH OpenFDO

Authors Bjorn Flesaker

Publication date 30 June 2010

Published in Econometrics and Risk Management (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0731-9053(08)22001-3

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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