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Introduction to Copulas
1 references·4 citing·21 second hop
Introduction to Copulas (2007)Introduction to CopulasDistributions With Given Marginals and Statistical Modelling (2002)Distributions With Given Marg…Stochastic Multidisciplinary Analysis with High-Dimensional Coupling (2016)Stochastic Multidisciplinary …Estimation of VaR Using Copula and Extreme Value Theory (2016)Estimation of VaR Using Copul…A copula-based model of speculative price dynamics in discrete time (2011)A copula-based model of specu…Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case (2008)Semi‐Parametric Models for th…Extreme Values, Regular Variation and Point Processes (1987)An Introduction to Copulas (1999)An Introduction to Statistical Modeling of Extreme Values (2001)A method of moments estimator of tail dependence (2008)Tail Risk of Multivariate Regular Variation (2010)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Econometrics of Financial Markets (2012)A Copula‐Based Quantile Risk Measure Approach to Estimate the Optimal Hedge Ratio (2013)Determining Distribution for the Product of Random Variables by Using Copulas (2019)Narrow Reliability Bounds for Structural Systems (1979)Probability, reliability and statistical methods in engineering design (1999)Reduction of Epistemic Model Uncertainty in Simulation-Based Multidisciplinary Design (2016)Adaptive Surrogate Modeling for Time-Dependent Multidisciplinary Reliability Analysis (2017)Probability-space surrogate modeling for fast multidisciplinary optimization under uncertainty (2020)Multivariate Simultaneous Generalized ARCH (1995)Extreme Correlation of International Equity Markets (2001)Dynamic Conditional Correlation (2002)Bivariate option pricing using dynamic copula models (2005)A goodness-of-fit test for multivariate multiparameter copulas based on multiplier central limit theorems (2009)Comparison of three semiparametric methods for estimating dependence parameters in copula models (2010)
this work references cited by second hop

References

  • 2002Distributions With Given Marginals and Statistical Modelling168 cited

Cited by

  • 2008Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case57 cited
  • 2011A copula-based model of speculative price dynamics in discrete time42 cited
  • 2016Estimation of VaR Using Copula and Extreme Value Theory26 cited
  • 2016Stochastic Multidisciplinary Analysis with High-Dimensional Coupling23 cited

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