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De copulis non est disputandum · Study

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ArticleDe copulis non est disputandum

Wolfgang Karl Härdle2009

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Articlegreen2009

De copulis non est disputandum

Wolfgang Karl Härdle · Ostap Okhrin

26 citations·0/0 files stored·AStA Advances in Statistical Analysis

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Financial Risk and Volatility Modeling Statistical Distribution Estimation and Applications Risk and Portfolio Optimization

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References

1999An Introduction to Copulas 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 1998Understanding Relationships Using Copulas 1993Statistical Inference Procedures for Bivariate Archimedean Copulas 2004On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation 2002Dependence Structures for Multivariate High-Frequency Data in Finance 2004Goodness-of-fit tests for copulas 2003Dependence structures for multivariate high-frequency data in finance

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2013On spatial contagion and multivariate GARCH models

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Details

Year2009

Typearticle

Published2009-11-20

VenueAStA Advances in Statistical Analysis

ISSN-L1863-8171

Languagela

Citations26

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s10182-009-0118-1

openalex_workW1560527582

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