Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index (Q629513)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index |
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Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index (English)
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9 March 2011
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Archimedean copulas
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nonparametric estimation
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iTraxx CDS index
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kurtosis of equity return distribution
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default risk
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