Multivariate Bernstein Fréchet copulas

DOI10.4310/22-SII722MaRDI QIDQ2116996zbMATH OpenOpenAlexFDO

Authors Zongkai Xie, Fang Wang, Nan Guo, Jingping Yang

Publication date 18 March 2022

Published in Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/22-sii722

zbMATH Keywords

bivariate marginal copulascopula constructionmultivariate Bernstein Fréchet copulasparametric estimation

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(4)

• Multivariate Fréchet copulas and conditional value-at-risk
• Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives
• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
• Multivariate Bertino copulas

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