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ArticleLévy-frailty copulas

Jan-Frederik Mai2009

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Articlebronze2009

Lévy-frailty copulas

Jan-Frederik Mai · Matthias A. Scherer

71 citations·0/0 files stored·Journal of Multivariate Analysis

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

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References

1999An Introduction to Copulas 2003Financial Modelling with Jump Processes 2004Lévy Processes and Stochastic Calculus 2003Modelling Dependence with Copulas and Applications to Risk Management 2011Quantitative Risk Management 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions 2003Handbook of heavy tailed distributions in finance 2004Laws of Small Numbers: Extremes and Rare Events

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2017A Compendium of Copulas 2013Within and between systemic country risk. Theory and evidence from the sovereign crisis in Europe 2012-extendible copulas 2009New constructions of diagonal patchwork copulas

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Year2009

Typearticle

Published2009-02-10

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations71

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.jmva.2009.01.010

openalex_workW2017104962

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