scientific article; zbMATH DE number 5370969

MaRDI QIDQ3537384zbMATH OpenFDO

Authors Xiumin Li, Meixing Liu, Jinxian Liu

Publication date 24 November 2008

zbMATH Keywords

copulageneralized Pareto distributionmeasures of dependencestock indexVaR

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited in

(5)

• Modeling the dependence of losses of a financial portfolio using nested Archimedean copulas
• Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios
• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
• Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function
• Modeling dependence based on mixture copulas and its application in risk management

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