Analysis of multidimensional probability distributions with copula functions
Download full text from publisher
References listed on IDEAS
- Aas, Kjersti & Czado, Claudia & Frigessi, Arnoldo & Bakken, Henrik, 2009. "Pair-copula constructions of multiple dependence," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 182-198, April.
- Müller, Alfred & Scarsini, Marco, 2005.
"Archimedean copulæ and positive dependence,"
Journal of Multivariate Analysis,
Elsevier, vol. 93(2), pages 434-445, April.
- Alfred Müller & Marco Scarsini, 2003. "Archimedean Copulae and Positive Dependence," ICER Working Papers - Applied Mathematics Series 25-2003, ICER - International Centre for Economic Research.
- Marco Scarsini & Alfred Muller, 2005. "Archimedean copulae and positive dependence," Post-Print hal-00539618, HAL.
- Fantazzini, Dean, 2009. "The effects of misspecified marginals and copulas on computing the value at risk: A Monte Carlo study," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2168-2188, April.
- Cornelia Savu & Mark Trede, 2010. "Hierarchies of Archimedean copulas," Quantitative Finance, Taylor & Francis Journals, vol. 10(3), pages 295-304.
- François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, April.
- Fantazzini, Dean, 2010. "Three-stage semi-parametric estimation of T-copulas: Asymptotics, finite-sample properties and computational aspects," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2562-2579, November.
- W. Breymann & A. Dias & P. Embrechts, 2003. "Dependence structures for multivariate high-frequency data in finance," Quantitative Finance, Taylor & Francis Journals, vol. 3(1), pages 1-14.
- 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.
- Niall Whelan, 2004. "Sampling from Archimedean copulas," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 339-352.
- Jondeau, Eric & Rockinger, Michael, 2003. "Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1699-1737, August.
- Bouye, Eric & Durlleman, Valdo & Nikeghbali, Ashkan & Riboulet, Gaël & Roncalli, Thierry, 2000. "Copulas for finance," MPRA Paper 37359, University Library of Munich, Germany.
- Andrew J. Patton, 2006. "Modelling Asymmetric Exchange Rate Dependence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 47(2), pages 527-556, May.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Travkin, A., 2015. "Estimating Pair-Copula Constructions Using Empirical Tail Dependence Functions: an Application to Russian Stock Market," Journal of the New Economic Association, New Economic Association, vol. 25(1), pages 39-55.
- Blagoveschensky, Yury, 2012. "Basics of copula’s theory," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 26(2), pages 113-130.
- Travkin, Alexandr, 2013. "Pair copula constructions in portfolio optimization ploblem," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 32(4), pages 110-133.
- Balaev, Alexey, 2014. "The copula based on multivariate t-distribution with vector of degrees of freedom," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 90-110.
- Knyazev, Alexander & Lepekhin, Oleg & Shemyakin, Arkady, 2016. "Joint distribution of stock indices: Methodological aspects of construction and selection of copula models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 42, pages 30-53.
- Penikas, Henry, 2014. "Investment portfolio risk modelling based on hierarchical copulas," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 35(3), pages 18-38.
- Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions. II," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 23(3), pages 98-132.
- repec:nea:journl:y:2017:i:35:p:33-52 is not listed on IDEAS
- Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions. III," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 24(4), pages 100-130.
More about this item
Keywordscopula; multivariate distribution; elliptical copulas; Archimedean copula; hierarchical copula;
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
- C69 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Other
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:apltrx:0077. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anatoly Peresetsky). General contact details of provider: http://appliedeconometrics.cemi.rssi.ru/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.