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Modelling Dependence with Copulas and Applications to Risk Management · Study

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ChapterModelling Dependence with Copulas and Applications to Risk Management

Paul Embrechts A2003

Chapter2003

Modelling Dependence with Copulas and Applications to Risk Management

Paul Embrechts A · Filip Lindskog · Alexander J. McNeil

1,056 citations·0/0 files stored·Elsevier eBooks

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Financial Risk and Volatility Modeling Risk and Portfolio Optimization Probability and Risk Models

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 1,056 citations exist upstream.

References

1999An Introduction to Copulas 1994Modelling of extremal events in insurance and finance 1987Extreme Values, Regular Variation and Point Processes 1987Stochastic Simulation 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 1993Statistical Inference Procedures for Bivariate Archimedean Copulas 1958Ordinal Measures of Association

Cited by

2007Measuring financial contagion: A Copula approach 2006The Copula-GARCH model of conditional dependencies: An international stock market application 2018Green bond and financial markets: Co-movement, diversification and price spillover effects 2005Applications of Simulation Methods in Environmental and Resource Economics 2013Is gold a safe haven or a hedge for the US dollar? Implications for risk management 2007Enjoy the Joy of Copulas: With a Packagecopula 2005Actuarial Theory for Dependent Risks: Measures, Orders and Models 2014Is there dependence and systemic risk between oil and renewable energy stock prices?

Details

Year2003

Typechapter

Published2003-01-01

VenueElsevier eBooks

Languageen

Citations1,056

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/b978-044450896-6.50010-8

openalex_workW1773976433

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