Fitting high-dimensional copulae to data

DOI10.1007/978-3-642-17254-0_17MaRDI QIDQ3112470zbMATH OpenOpenAlexFDO

Authors Ostap Okhrin

Publication date 10 January 2012

Published in Handbook of Computational Finance (Search for Journal in Brave)

Full work available at URL http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2010-022.pdf

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical methods; risk measures (91G70)

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Cited in

(1)

• STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY

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