Heavy tails and copulas. Topics in dependence modelling in economics and finance
Probability distributions: general theory (60E05) Nonparametric robustness (62G35) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Stable stochastic processes (60G52) Stochastic models in economics (91B70)
- Selection of mixed copula for association modeling with tied observations
- scientific article; zbMATH DE number 7660127 (Why is no real title available?)
- Income inequality and price elasticity of market demand: the case of crossing Lorenz curves
- A copula-based portrayal of the collider bias
- New copulas based on general partitions-of-unity and their applications to risk management. II.
- Copulas and tail dependence in finance
- Counting statistics for dependent random events. With a focus on finance
- The Fundamentals of Heavy Tails
- Heavy tails and copulas: limits of diversification revisited
- Word embeddings as statistical estimators
- Generating unfavourable VaR scenarios under Solvency II with patchwork copulas
- Copulae: on the crossroads of mathematics and economics. Abstracts from the workshop held April 12--18, 2015
- \(\ell_1\)-symmetric vector random fields
- Heavy-tailed distributions and robustness in economics and finance
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