Modeling Dependencies with Copulae

DOI10.1007/978-3-540-69179-2_1MaRDI QIDQ3542243zbMATH OpenOpenAlexFDO

Authors Ostap Okhrin, Yarema Okhrin, Wolfgang K. Härdle

Publication date 1 December 2008

Published in Applied Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://nbn-resolving.org/urn:nbn:de:bvb:384-opus4-475554

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Statistical methods; risk measures (91G70)

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Cited in

(17)

• scientific article; zbMATH DE number 7088128 (Why is no real title available?)
• A copulas-based approach to modeling dependence in decision trees
• scientific article; zbMATH DE number 7255570 (Why is no real title available?)
• De copulis non est disputandum. Copulae: an overview
• Time-varying copula models for financial time series
• Heavy tails and copulas. Topics in dependence modelling in economics and finance
• An empirical analysis of multivariate copula models
• HMM and HAC
• Pitfalls in modelling dependence structures: explorations with copulas
• Dependence structure estimation using copula recursive trees
• On multivariate Gaussian copulas
• Imposing Independence Constraints in the CP Model
• Testing the Gaussian copula hypothesis for financial assets dependences
• What makes dependence modeling challenging? Pitfalls and ways to circumvent them
• scientific article; zbMATH DE number 1085999 (Why is no real title available?)
• The joint distribution of stock returns is not elliptical
• Elements of Copula Modeling with R

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