Gaussian approximation of conditional elliptical copulas

DOI10.1016/J.JMVA.2012.04.017MaRDI QIDQ444996zbMATH OpenOpenAlexFDO

Authors Enkelejd Hashorva, Piotr Jaworski

Publication date 24 August 2012

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2012.04.017

zbMATH Keywords

conditional copulasGumbel max-domain of attractiontruncation of the first variableunivariate conditioning

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Recommendations

• Gaussian Approximation of Conditional Elliptical Random Vectors
• The limiting properties of copulas under univariate conditioning
• Stochastic dependence modelling using conditional elliptical processes
• Dependence structure of conditional Archimedean copulas
• Elliptical copulas: Applicability and limitations.

Cites work

• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
• scientific article; zbMATH DE number 107615 (Why is no real title available?)
• scientific article; zbMATH DE number 193287 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 5242364 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• An introduction to copulas.
• Asymptotics of a boundary crossing probability of a Brownian bridge with general trend
• Copula convergence theorems for tail events.
• Copula theory and its applications. Proceedings of the workshop held in Warsaw, Poland, 25--26 September 2009
• De copulis non est disputandum. Copulae: an overview
• Extreme-quantile tracking for financial time series
• Gaussian Approximation of Conditional Elliptical Random Vectors
• Invariant dependence structure under univariate truncation
• Limiting dependence structures for tail events, with applications to credit derivatives
• On the theory of elliptically contoured distributions
• Spatial contagion between financial markets: a copula-based approach
• Tail dependence from a distributional point of view
• The devil is in the tails: actuarial mathematics and the subprime mortgage crisis
• Threshold copulas and positive dependence
• Univariate conditioning of copulas

Cited in

(9)

• The limiting properties of copulas under univariate conditioning
• Gaussian approximation of perturbed chi-square risks
• Approximation of some multivariate risk measures for Gaussian risks
• Stochastic dependence modelling using conditional elliptical processes
• Gaussian Approximation of Conditional Elliptical Random Vectors
• Univariate conditioning of vine copulas
• Strong approximation of empirical copula processes by Gaussian processes
• Asymptotics of multivariate conditional risk measures for Gaussian risks
• Conditioning of copulas: transformations, invariance and measures of concordance

Describes a project that uses

Uses Software

• QRM

This page was built for publication: Gaussian approximation of conditional elliptical copulas

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q444996)