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ArticleImplicit Copulas: An Overview

Michael S. Smith2021

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Articlegreen2021

Implicit Copulas: An Overview

Michael S. Smith

27 citations·0/0 files stored·Econometrics and Statistics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Statistical Distribution Estimation and Applications

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References

2014A five-factor asset pricing model 1999An Introduction to Copulas 2001Extreme Correlation of International Equity Markets 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2007Pair-copula constructions of multiple dependence 2004Copula Methods in Finance 2002Correlation and Dependence in Risk Management: Properties and Pitfalls

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Details

Year2021

Typearticle

Published2021-12-22

VenueEconometrics and Statistics

ISSN-L2452-3062

Languageen

Citations27

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ecosta.2021.12.002

openalex_workW3198952583

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