Perturbed Gaussian copula
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Publication:3572012
DOI10.1016/S0731-9053(08)22005-0zbMATH Open1189.91224MaRDI QIDQ3572012FDOQ3572012
Jean-Pierre Fouque, Xianwen Zhou
Publication date: 30 June 2010
Published in: Econometrics and Risk Management (Search for Journal in Brave)
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Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Credit risk (91G40)
Cited In (7)
- Title not available (Why is that?)
- The correction of multiscale stochastic volatility to American put option: an asymptotic approximation and finite difference approach
- Gaussian copula under multiscale volatility
- Option pricing under the jump diffusion and multifactor stochastic processes
- A theoretical argument why the \(t\)-copula explains credit risk contagion better than the Gaussian copula
- A Compendium of Copulas
- Perturbation of bivariate copulas
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