Fitting bivariate cumulative returns with copulas
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- Bouye, Eric & Durlleman, Valdo & Nikeghbali, Ashkan & Riboulet, Gaël & Roncalli, Thierry, 2000. "Copulas for finance," MPRA Paper 37359, University Library of Munich, Germany.
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- Praetz, Peter D, 1972. "The Distribution of Share Price Changes," The Journal of Business, University of Chicago Press, vol. 45(1), pages 49-55, January.
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- Roch, Oriol & Alegre, Antonio, 2006. "Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1312-1329, November.
- Chapelle, Ariane & Crama, Yves & Hübner, Georges & Peters, Jean-Philippe, 2008.
"Practical methods for measuring and managing operational risk in the financial sector: A clinical study,"
Journal of Banking & Finance,
Elsevier, vol. 32(6), pages 1049-1061, June.
- Georges Hübner & Jean-Philippe Peters, 2008. "Practical methods for measuring and managing operational risk in the financial sector: a clinical study," ULB Institutional Repository 2013/14158, ULB -- Universite Libre de Bruxelles.
- Huang, Jen-Jsung & Lee, Kuo-Jung & Liang, Hueimei & Lin, Wei-Fu, 2009. "Estimating value at risk of portfolio by conditional copula-GARCH method," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 315-324, December.
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