Normal tempered stable copula (Q2339016)

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scientific article

Language	Label	Description	Also known as
English	Normal tempered stable copula	scientific article

Statements

scholarly article

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Normal tempered stable copula (English)

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Applied Mathematics Letters

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publication date

30 March 2015

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zbMATH Keywords

copula

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normal tempered stable copula

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asymmetric dependency

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.aml.2013.01.009

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Financial Modelling with Jump Processes

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Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market

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Feller processes of normal inverse Gaussian type

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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

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Identifiers

zbMATH Open document ID

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10.1016/j.aml.2013.01.009

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2339016

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