Sklar’s theorem, copula products, and ordering results in factor models
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DOI: 10.1515/demo-2021-0113
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References listed on IDEAS
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- Jonathan Ansari & Eva Lutkebohmert & Ariel Neufeld & Julian Sester, 2022. "Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information," Papers 2204.01071, arXiv.org, revised Sep 2023.
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More about this item
Keywords
componentwise convex copulas; concordance order; conditional distribution function; conditional independence; factor model; product of copulas; 60E15; 60E05; 28A50;All these keywords.
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