Financial applications of flexible copula families based on mixing
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References listed on IDEAS
- Benoit Mandelbrot, 1963. "New Methods in Statistical Economics," Journal of Political Economy, University of Chicago Press, vol. 71, pages 421-421.
- Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters,in: THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78 World Scientific Publishing Co. Pte. Ltd..
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KeywordsCopulas; non-elliptical copulas; mixtures; tail dependence; measures of association.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-07-15 (All new papers)
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