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A Simple Transformation of Copulas · Study

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PreprintA Simple Transformation of Copulas

Valdo Durrleman2007

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Preprintgreen2007

A Simple Transformation of Copulas

Valdo Durrleman · Ashkan Nikeghbali · Thierry Roncalli

35 citations·0/0 files stored·SSRN Electronic Journal

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

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References

2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2003Modelling Dependence with Copulas and Applications to Risk Management 1986The Joy of Copulas: Bivariate Distributions with Uniform Marginals 2007Copulas for Finance - A Reading Guide and Some Applications 2007Which Copula is the Right One?1998“Understanding Relationships Using Copulas,” by Edward Frees and Emiliano Valdez, January 1998 1999Introduction

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2009Constructing copulas by means of pairs of order statistics

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Details

Year2007

Typepreprint

Published2007-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations35

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1032543

openalex_workW1559737992

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