An empirical analysis of multivariate copula models
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Publication:3650966
DOI10.1080/14697680802595650zbMath1180.91314OpenAlexW1988471447MaRDI QIDQ3650966
Christian Köck, Florian Weigert, Matthias Fischer, Stephan Schlueter
Publication date: 7 December 2009
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22138
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Cites Work
- Pair-copula constructions of multiple dependence
- An introduction to copulas.
- Vines -- a new graphical model for dependent random variables.
- Constructing multivariate distributions with specific marginal distributions
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Aggregation of dependent risks using the Koehler-Symanowski copula function
- A method to obtain new copulas from a given one
- Hierarchies of Archimedean copulas
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Remarks on a Multivariate Transformation
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