Copulae in mathematical and quantitative finance. Proceedings of the workshop, Cracow, Poland, July 10--11, 2012

DOI10.1007/978-3-642-35407-6MaRDI QIDQ353277zbMATH OpenOpenAlexFDO

Authors

Publication date 12 July 2013

Published in Lecture Notes in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-35407-6

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical methods; risk measures (91G70) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Proceedings of conferences of miscellaneous specific interest (00B25) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)

Cited in

(31)

• A unified test for predictability of asset returns regardless of properties of predicting variables
• Paths and indices of maximal tail dependence
• Coupling of Wiener processes by using copulas
• Singular components of shock model copulas
• Pairwise and global dependence in trivariate copula models
• The distribution of the probability mass of conic copulas
• Flipping of multivariate aggregation functions
• On truncation invariant copulas and their estimation
• On the singular components of a copula
• A compendium of copulas
• The distribution of the probability mass of biconic copulas
• M-test in linear models with negatively superadditive dependent errors
• On the strong consistency of M-estimates in linear models for negatively superadditive dependent errors
• Clustering of financial time series in risky scenarios
• Independence results for multivariate tail dependence coefficients
• scientific article; zbMATH DE number 6423452 (Why is no real title available?)
• New copulas based on general partitions-of-unity and their applications to risk management
• On Copula-Itô processes
• Managing risk with a realized copula parameter
• How to prove Sklar's theorem
• Background risk models and stepwise portfolio construction
• Copulas, diagonals, and tail dependence
• On copulas of self-similar Ito processes
• Multivariate copulas with hairpin support
• Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity
• Copulae: on the crossroads of mathematics and economics. Abstracts from the workshop held April 12--18, 2015
• A topological proof of Sklar's theorem
• Truncation invariant copulas and a testing procedure
• On conditional value at risk (CoVaR) for tail-dependent copulas
• Measuring association via lack of co-monotonicity: the loc index and a problem of educational assessment
• A typical copula is singular

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