GSH Dependence Modeling with an Application to Risk Management
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Publication:3167840
DOI10.1080/03610926.2012.686646zbMath1319.62207MaRDI QIDQ3167840
Corrado Provasi, Paola Palmitesta
Publication date: 29 October 2012
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2012.686646
independent component analysis; risk measures; copula approach; generalized secant hyperbolic (GSH) distribution
62H12: Estimation in multivariate analysis
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
62E17: Approximations to statistical distributions (nonasymptotic)
Uses Software
Cites Work
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