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Copulas: Tales and facts · Study

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ArticleCopulas: Tales and facts

Thomas Mikosch2006

Article2006

Copulas: Tales and facts

242 citations·0/0 files stored·Extremes

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

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References

1999An Introduction to Copulas 2016Numerical solution of stochastic differential equations 1997Modelling Extremal Events 2002Introduction to Time Series and Forecasting 2003Monte Carlo Methods in Financial Engineering 1994Modelling of extremal events in insurance and finance 1987Extreme Values, Regular Variation and Point Processes 2005Quantitative Risk Management: Concepts, Techniques, and Tools

Cited by

2018Power outages and firm performance in Sub-Saharan Africa 2010Copula Theory: An Introduction 2009Copulas: A Personal View 2012A Survey on Time-Varying Copulas: Specification, Simulations, and Application 2008Multivariate extremes and the aggregation of dependent risks: examples and counter-examples 2008Extreme value properties of multivariate t copulas 2015Extremal Dependence Concepts

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2007The t Copula and Related Copulasarticle · 7 shared references 2007Copulas for Finance - A Reading Guide and Some Applicationspreprint · 7 shared references 2006Quantitative models for operational risk: Extremes, dependence and aggregationarticle · 7 shared references 2005Journal De La Société Française De Statistiqueother · 7 shared references 2008Multivariate extremes and the aggregation of dependent risks: examples and counter-examplesarticle · 7 shared references 2006Copulas: A Review and Recent Developmentsarticle · 7 shared references

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Year2006

Typearticle

Published2006-10-30

VenueExtremes

ISSN-L1386-1999

Languageen

Citations242

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s10687-006-0015-x

openalex_workW2012605493

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2010International diversification: A copula approach