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Article provided by Springer in its journal Statistical Inference for Stochastic Processes.

Volume (Year): 12 (2009)
Issue (Month): 1 (February)
Pages: 65-87
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:spr:sistpr:v:12:y:2009:i:1:p:65-87

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Related research

Keywords: Copulas; Multivariate FCLT; Weak dependence; 62M10; 62G07; 60F17;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

1. Christian Gourieroux & J. P. Laurent & Olivier Scaillet, 2000. "Sensitivity Analysis of Values at Risk," Econometric Society World Congress 2000 Contributed Papers 0162, Econometric Society. [Downloadable!]
   Other versions:
   • GouriŽroux, Christian & Laurent, J.P. & Scaillet, Olivier, 1999. "Sensitivity Analysis of Values at Risk," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2000002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Jan 2000. [Downloadable!]
   • C. Gourieroux & J.P. Laurent & O. Scaillet, 2000. "Sensitivity analysis of values at risk," THEMA Working Papers 2000-04, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
   • Christian Gourieroux ; Jean-Paul Laurent ; Olivier Scaillet, 2000. "Sensitivity Analysis of Values at Risk," Working Papers 2000-05, Centre de Recherche en Economie et Statistique. [Downloadable!]
   • Gourieroux, C. & Laurent, J. P. & Scaillet, O., 2000. "Sensitivity analysis of Values at Risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 225-245, November. [Downloadable!] (restricted)
2. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February. [Downloadable!] (restricted)
3. Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July. [Downloadable!] (restricted)
4. Goorbergh, R.W.J. van den & Genest, C. & Werker, B.J.M., 2003. "Multivariate option pricing using dynamic copula models," Discussion Paper 122, Tilburg University, Center for Economic Research. [Downloadable!]
5. Jean-David FERMANIAN & Olivier SCAILLET, 2003. "Nonparametric Estimation of Copulas for Time Series," FAME Research Paper Series rp57, International Center for Financial Asset Management and Engineering. [Downloadable!]

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