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Copulas, diagonals, and tail dependence · Study

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ArticleCopulas, diagonals, and tail dependence

Fabrizio Durante2014

Article2014

Copulas, diagonals, and tail dependence

Fabrizio Durante · Juan Fernández Sánchez · Roberta Pappadà

45 citations·0/0 files stored·Fuzzy Sets and Systems

No readable copy stored yet — this record is metadata only.

Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis Probability and Risk Models

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 45 citations exist upstream.

References

1999An Introduction to Copulas 2005Quantitative Risk Management: Concepts, Techniques, and Tools 1999Hierarchical structure in financial markets 2006Quantitative Risk Management: Concepts, Techniques, and Tools 2007Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask 2011Quantitative Risk Management 2006An Introduction to Copulas (Springer Series in Statistics)1999Dependence Measures for Extreme Value Analyses

Cited by

2014Clustering of time series via non-parametric tail dependence estimation 2024Can gold-backed cryptocurrencies have dynamic hedging and safe-haven abilities against DeFi and NFT assets?

Details

Year2014

Typearticle

Published2014-04-08

VenueFuzzy Sets and Systems

ISSN-L0165-0114

Languageen

Citations45

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.fss.2014.03.014

openalex_workW2070210860

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