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The Advent of Copulas in Finance

Author

Listed:
  • Christian Genest
  • Michel Gendron
  • Michaël Bourdeau-Brien

Abstract

The authors provide bibliometric evidence to illustrate the development of copula theory in mathematics, statistics, actuarial science and finance. They identify the main contributors to the field, and the most important areas of application in finance. They also describe some of the remaining methodological challenges.

Suggested Citation

  • Christian Genest & Michel Gendron & Michaël Bourdeau-Brien, 2009. "The Advent of Copulas in Finance," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 609-618.
    • Handle: RePEc:taf:eurjfi:v:15:y:2009:i:7-8:p:609-618
    DOI: 10.1080/13518470802604457
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    References listed on IDEAS

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    1. Yannick Malevergne & Didier Sornette, 2006. "Extreme Financial Risks : From Dependence to Risk Management," Post-Print hal-02298069, HAL.
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