Copulas for finance
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References listed on IDEAS
- 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.
- Cuadras, C. M., 1992. "Probability distributions with given multivariate marginals and given dependence structure," Journal of Multivariate Analysis, Elsevier, vol. 42(1), pages 51-66, July.
- 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.
More about this item
KeywordsCopula; multivariate distribution; dependence structure; concordance measures; scoring; Markov processes; risk management; extreme value theory; stress testing; operational risk; market risk; credit risk;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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