New copulas based on general partitions-of-unity and their applications to risk management (part II)
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References listed on IDEAS
- Durante, Fabrizio & Fernández-Sánchez, Juan, 2010. "Multivariate shuffles and approximation of copulas," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1827-1834, December.
- Alexander J. McNeil & Rüdiger Frey & Paul Embrechts, 2015. "Quantitative Risk Management: Concepts, Techniques and Tools Revised edition," Economics Books, Princeton University Press, edition 2, number 10496, March.
- Durante, Fabrizio & Fernández Sánchez, Juan & Sempi, Carlo, 2013. "Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 897-905.
- Embrechts, Paul & Puccetti, Giovanni & Rüschendorf, Ludger, 2013. "Model uncertainty and VaR aggregation," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2750-2764.
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