Gaussian approximation of conditional elliptical copulas
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Publication:444996
DOI10.1016/J.JMVA.2012.04.017zbMATH Open1259.62039OpenAlexW1969366443MaRDI QIDQ444996FDOQ444996
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
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conditional copulasGumbel max-domain of attractiontruncation of the first variableunivariate conditioning
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Cited In (9)
- The limiting properties of copulas under univariate conditioning
- Gaussian approximation of perturbed chi-square risks
- Stochastic dependence modelling using conditional elliptical processes
- Approximation of some multivariate risk measures for Gaussian risks
- 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
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