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Fitting bivariate cumulative returns with copulas · Study

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ArticleFitting bivariate cumulative returns with copulas

Werner Hürlimann2002

OA

Articlegreen2002

Fitting bivariate cumulative returns with copulas

Werner Hürlimann

60 citations·0/0 files stored·Computational Statistics & Data Analysis

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Statistical Distribution Estimation and Applications

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 60 citations exist upstream.

References

1960A Coefficient of Agreement for Nominal Scales 1904The Proof and Measurement of Association between Two Things 1999An Introduction to Copulas 1987Extreme Values, Regular Variation and Point Processes 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 1998Understanding Relationships Using Copulas 1999Loss Models: From Data to Decisions 1997Processes of normal inverse Gaussian type

Cited by

2005Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market 2009Constructing copula functions with weighted geometric means 2005New Families of Copulas Based on Periodic Functions 2017A Compendium of Copulas 2007Fitting copulas to bivariate earthquake data: the seismic gap hypothesis revisited 2009Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function 2004Multivariate Fréchet copulas and conditional value‐at‐risk 2011Reliability-Based Design Optimization With Confidence Level for Non-Gaussian Distributions Using Bootstrap Method

Details

Year2002

Typearticle

Published2002-12-27

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations60

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/s0167-9473(02)00346-8

openalex_workW2016733409

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