A new bivariate Archimedean copula with application to the evaluation of VaR

DOI10.1515/SNDE-2019-0096OpenAlexW3114963464MaRDI QIDQ2700544FDOQ2700544

Authors: Cigdem Topcu Guloksuz, Pranesh Kumar 

Publication date: 27 April 2023

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2019-0096

zbMATH Keywords

dependenceMonte Carlo simulationvalue at riskArchimedean copulastock pricesgenerator function

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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• Title not available (Why is that?)
• Modelling sample selection using Archimedean copulas
• The Use of Archimedean Copulas to Model Portfolio Allocations
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Cited In (3)

• Title not available (Why is that?)
• A note on bivariate Archimax copulas
• On the class of bivariate Archimax copulas under constraints

Uses Software

• QRM

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