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Copulas: An Open Field for Risk Management · Study

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PreprintCopulas: An Open Field for Risk Management

Éric Bouyé2007

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Preprintgreen2007

Copulas: An Open Field for Risk Management

Éric Bouyé · Valdo Durrleman · Ashkan Nikeghbali · Gaël Riboulet · Thierry Roncalli

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

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

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References

1999An Introduction to Copulas 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions 2007Copulas for Finance - A Reading Guide and Some Applications 1999Correlation: Pitfalls and Alternatives 1999On Default Correlation: A Copula Function Approach 1999Modelling emerging market risk premia using higher moments 2004How do UK‐based foreign exchange dealers think their market operates?

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2013Modeling the volatility of futures return in rubber and oil—A Copula-based GARCH model approach

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Details

Year2007

Typepreprint

Published2007-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations25

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1032557

openalex_workW1843522101

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