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A flexible and tractable class of one-factor copulas · Study

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ArticleA flexible and tractable class of one-factor copulas

Gildas Mazo2015

OA

Articlegreen2015

A flexible and tractable class of one-factor copulas

Gildas Mazo · Stéphane Girard · Florence Forbes

20 citations·0/0 files stored·Statistics and Computing

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Financial Risk and Volatility Modeling Statistical Distribution Estimation and Applications Probability and Risk Models

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References

1999An Introduction to Copulas 2001An Introduction to Statistical Modeling of Extreme Values 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2007Pair-copula constructions of multiple dependence 2007Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask 1993Statistical Inference Procedures for Bivariate Archimedean Copulas 2007The t Copula and Related Copulas 2006An Introduction to Copulas (Springer Series in Statistics)

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Year2015

Typearticle

Published2015-06-13

VenueStatistics and Computing

ISSN-L0960-3174

Languageen

Citations20

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s11222-015-9580-7

openalex_workW2184119903

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