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A Simple Transformation of Copulas
7 references·1 citing·33 second hop
A Simple Transformation of Copulas (2007)A Simple Transformation of CopulasWhich Copula is the Right One? (2007)Which Copula is the Right One?Copulas for Finance - A Reading Guide and Some Applications (2007)Copulas for Finance - A Readi…Modelling Dependence with Copulas and Applications to Risk Management (2003)Modelling Dependence with Cop…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…Introduction (1999)Introduction“Understanding Relationships Using Copulas,” by Edward Frees and Emiliano Valdez, January 1998 (1998)“Understanding Relationships …The Joy of Copulas: Bivariate Distributions with Uniform Marginals (1986)The Joy of Copulas: Bivariate…Constructing copulas by means of pairs of order statistics (2009)Constructing copulas by means…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Understanding Relationships Using Copulas (1998)Measures of risk (2004)Measurement of aggregate risk with copulas (2005)Dependence Calibration in Conditional Copulas: A Nonparametric Approach (2010)Extreme Values, Regular Variation and Point Processes (1987)Modelling of extremal events in insurance and finance (1994)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Measuring financial contagion: A Copula approach (2007)Green bond and financial markets: Co-movement, diversification and price spillover effects (2018)The Asymptotic Theory of Extreme Order Statistics (1990)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)Stochastic bounds on sums of dependent risks (1999)Asymptotics for risk capital allocations based on Conditional Tail Expectation (2011)Tests of symmetry for bivariate copulas (2011)Measures of risk (2002)Weak convergence of empirical copula processes (2004)Dependence patterns across financial markets: a mixed copula approach (2006)Brownian Motion and Stochastic Calculus (2007)Random variables, joint distribution functions, and copulas (1973)Aggregation Functions: A Guide for Practitioners (2007)Enjoy the Joy of Copulas: With a Packagecopula (2007)Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Stochastic ordering of bivariate elliptical distributions (2005)Revisiting the Dependence between Financial Markets with Copulas (2007)Economic Capital and the Aggregation of Risks Using Copulas (2009)
this work references cited by second hop

References

  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2003Modelling Dependence with Copulas and Applications to Risk Management1,056 cited
  • 1986The Joy of Copulas: Bivariate Distributions with Uniform Marginals790 cited
  • 2007Copulas for Finance - A Reading Guide and Some Applications426 cited
  • 2007Which Copula is the Right One?145 cited
  • 1998“Understanding Relationships Using Copulas,” by Edward Frees and Emiliano Valdez, January 1998115 cited
  • 1999Introduction59 cited

Cited by

  • 2009Constructing copulas by means of pairs of order statistics29 cited

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