Copulae in mathematical and quantitative finance. Proceedings of the workshop, Cracow, Poland, July 10--11, 2012
DOI10.1007/978-3-642-35407-6zbMATH Open1268.91005OpenAlexW2491929758MaRDI QIDQ353277FDOQ353277
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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
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)
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- Singular components of shock model copulas
- Pairwise and global dependence in trivariate copula models
- The distribution of the probability mass of conic copulas
- On truncation invariant copulas and their estimation
- Flipping of multivariate aggregation functions
- 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
- Title not available (Why is that?)
- 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
- On copulas of self-similar Ito processes
- Copulas, diagonals, and tail dependence
- 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
- Measuring association via lack of co-monotonicity: the loc index and a problem of educational assessment
- On conditional value at risk (CoVaR) for tail-dependent copulas
- A typical copula is singular
- Paths and indices of maximal tail dependence
- A unified test for predictability of asset returns regardless of properties of predicting variables
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