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Approximation of bivariate copulas by patched bivariate Fréchet copulas · Study

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ArticleApproximation of bivariate copulas by patched bivariate Fréchet copulas

Yanting Zheng2010

Article2010

Approximation of bivariate copulas by patched bivariate Fréchet copulas

Yanting Zheng · Jingping Yang · Jianhua Z. Huang

21 citations·0/0 files stored·Insurance Mathematics and Economics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Probability and Risk Models

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References

1999An Introduction to Copulas 2004Copula Methods in Finance 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 1998Understanding Relationships Using Copulas 2008Modern Actuarial Risk Theory 2002The concept of comonotonicity in actuarial science and finance: theory 1982Options on the minimum or the maximum of two risky assets 2014Extremes in Nature: An Approach Using Copulas

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Year2010

Typearticle

Published2010-11-20

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations21

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.insmatheco.2010.11.002

openalex_workW2170446030

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