Fitting bivariate cumulative returns with copulas

DOI10.1016/S0167-9473(02)00346-8MaRDI QIDQ956837zbMATH OpenFDO

Authors Werner Hürlimann

Publication date 26 November 2008

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

copulacovariance estimationbivariate chi-square statisticdaily cumulative returnIFM methodnormal inverse gamma mixture

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

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• Ruin measures for a compound Poisson risk model with dependence based on the Spearman copula and the exponential claim sizes
• Fitting bivariate loss distributions with copulas
• Modelling financial time series using reflections of copulas
• Option pricing with bivariate risk-neutral density via copula and heteroscedastic model: a Bayesian approach
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