Covar of families of copulas

DOI10.1016/j.spl.2016.09.005zbMath1417.62298MaRDI QIDQ342737

Mohammad Hasan, M. Dambrine

Publication date: 18 November 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2016.09.005

zbMATH Keywords

copula; singular measure; value-at-risk; risk measure; systemic risk; covar

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

60E05: Probability distributions: general theory

Uses Software

• CopulaModel