Quantifying the risk using copulae with nonparametric marginals (Q2513617)
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scientific article; zbMATH DE number 6391851
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| English | Quantifying the risk using copulae with nonparametric marginals |
scientific article; zbMATH DE number 6391851 |
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Quantifying the risk using copulae with nonparametric marginals (English)
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28 January 2015
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extreme value copula
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tail dependence
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Sarmanov copula
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nonparametric marginals
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value-at-risk
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0.7986553907394409
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0.780332624912262
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0.7793732285499573
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0.7764082551002502
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0.7700504660606384
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