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Multivariate Counting Processes: Copulas and Beyond
6 references·0 citing·19 second hop
Multivariate Counting Processes: Copulas and Beyond (2005)Multivariate Counting Processes: Copulas …Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Modeling and Generating Dependent Risk Processes for IRM and DFA (2004)Modeling and Generating Depen…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling (2003)Common Poisson Shock Models: …An Introduction to Copulas (1999)An Introduction to CopulasExtreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Coherent Measures of Risk (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)On the Pricing of Corporate Debt: The Risk Structure of Interest Rates (1974)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Calibration of CDO Tranches with the Dynamical Generalized-Poisson Loss Model (2006)The structural modeling of operational risk via Bayesian inference: combining loss data with expert opinions (2006)Hierarchical Insurance Claims Modeling (2008)Stochastic Processes for Insurance and Finance (2001)Modeling and Management of Nonlinear Dependencies–Copulas in Dynamic Financial Analysis (2009)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Modelling of extremal events in insurance and finance (1994)Extreme Correlation of International Equity Markets (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1999An Introduction to Copulas7,743 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2003Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling216 cited
  • 2004Modeling and Generating Dependent Risk Processes for IRM and DFA49 cited

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