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Article-extendible copulas

Jan-Frederik Mai2012

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Articlebronze2012

-extendible copulas

Jan-Frederik Mai · Matthias A. Scherer

29 citations·0/0 files stored·Journal of Multivariate Analysis

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Financial Risk and Volatility Modeling Statistical Distribution Estimation and Applications Probability and Risk Models

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References

2004Lévy Processes and Stochastic Calculus 1937La prévision : ses lois logiques, ses sources subjectives 2000On Default Correlation 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions 2008Sampling nested Archimedean copulas 2003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling 2008Sampling Archimedean copulas

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2015A copula‐based risk aggregation model

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Year2012

Typearticle

Published2012-03-30

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations29

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jmva.2012.03.011

openalex_workW112998536

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