Copulas for finance
Copulas are a general tool to construct multivariate distributions and to investigate dependence structure between random variables. However, the concept of copula is not popular in Finance. In this paper, we show that copulas can be extensively used to solve many financial problems.
|Date of creation:||07 Mar 2000|
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- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
- Deheuvels, Paul, 1991. "On the limiting behavior of the Pickands estimator for bivariate extreme-value distributions," Statistics & Probability Letters, Elsevier, vol. 12(5), pages 429-439, November.
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- Yun, Seokhoon, 1997. "On Domains of Attraction of Multivariate Extreme Value Distributions under Absolute Continuity," Journal of Multivariate Analysis, Elsevier, vol. 63(2), pages 277-295, November.
- Joe, Harry & Hu, Taizhong, 1996. "Multivariate Distributions from Mixtures of Max-Infinitely Divisible Distributions," Journal of Multivariate Analysis, Elsevier, vol. 57(2), pages 240-265, May.
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