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Copulae in Mathematical and Quantitative Finance · Study

BookCopulae in Mathematical and Quantitative Finance

Piotr Jaworski2013

Book2013

Copulae in Mathematical and Quantitative Finance

Piotr Jaworski · Fabrizio Durante · Wolfgang Karl Härdle

139 citations·0/0 files stored·Lecture notes in statistics

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

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References

2007Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask

Cited by

2016Pair-Copula Constructions for Financial Applications: A Review 2013Conditional copula simulation for systemic risk stress testing 2013A topological proof of Sklar’s theorem 2020Geometric picture fuzzy numbers and three-dimensional copulas with the non-linear programming approach 2015Efficient information based goodness-of-fit tests for vine copula models with fixed margins: A comprehensive review 2016Multivariate probabilistic safety analysis of process facilities using the Copula Bayesian Network model 2015Multivariate dependence risk and portfolio optimization: An application to mining stock portfolios 2013Flexible dependence modeling of operational risk losses and its impact on total capital requirements

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2007Goodness-of-fit tests for copulas: A review and a power studyarticle · 1 shared reference 2012Selecting and estimating regular vine copulae and application to financial returnsarticle · 1 shared reference 2012A review of copula models for economic time seriesarticle · 1 shared reference 2007Enjoy the Joy of Copulas: With a Packagecopulaarticle · 1 shared reference 2013Modeling Dependence with C- and D-Vine Copulas: The R Package CDVinearticle · 1 shared reference 2010Modeling Multivariate Distributions with Continuous Margins Using the copula R Packagearticle · 1 shared reference

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Year2013

Typebook

Published2013-01-01

VenueLecture notes in statistics

ISSN-L0930-0325

Languageen

Citations139

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/978-3-642-35407-6

openalex_workW2491929758

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