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Lévy-frailty copulas
11 references·4 citing·36 second hop
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this work references cited by second hop

References

  • 1999An Introduction to Copulas7,743 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2004Lévy Processes and Stochastic Calculus2,040 cited
  • 2003Modelling Dependence with Copulas and Applications to Risk Management1,056 cited
  • 2011Quantitative Risk Management985 cited
  • 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions598 cited
  • 2003Handbook of heavy tailed distributions in finance351 cited
  • 2004Laws of Small Numbers: Extremes and Rare Events329 cited
  • 2000Multivariate Extreme Value Distributions282 cited
  • 1997Multivariate extreme value distributions95 cited
  • 2006Nonparametric inference on multivariate versions of Blomqvist’s beta and related measures of tail dependence60 cited

Cited by

  • 2017A Compendium of Copulas41 cited
  • 2013Within and between systemic country risk. Theory and evidence from the sovereign crisis in Europe33 cited
  • 2012-extendible copulas29 cited
  • 2009New constructions of diagonal patchwork copulas29 cited

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