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ArticleExtremes of nonexchangeability

Roger B. Nelson2007

Article2007

Extremes of nonexchangeability

Roger B. Nelson

76 citations·0/0 files stored·Statistical Papers

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

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References

1999An Introduction to Copulas 1981On Nonparametric Measures of Dependence for Random Variables

Cited by

2007COPULAS WITH GIVEN DIAGONAL SECTIONS: NOVEL CONSTRUCTIONS AND APPLICATIONS 2009Rectangular Patchwork for Bivariate Copulas and Tail Dependence 2007Construction of non-exchangeable bivariate distribution functions 2013Assessing and Modeling Asymmetry in Bivariate Continuous Data 2008Measures of non-exchangeability for bivariate random vectors 2014Bivariate copulas: Transformations, asymmetry and measures of concordance 2020Estimating scale-invariant directed dependence of bivariate distributions 2016On the family of multivariate chi-square copulas

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2007Copulas for Finance - A Reading Guide and Some Applicationspreprint · 2 shared references 2004THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONSarticle · 2 shared references 2010Copula Theory: An Introductionchapter · 2 shared references 2006On the relationship between Spearman's rho and Kendall's tau for pairs of continuous random variablesarticle · 2 shared references 2021Myths About Linear and Monotonic Associations: Pearson’s r , Spearman’s ρ , and Kendall’s τarticle · 2 shared references 2004Constraints on concordance measures in bivariate discrete dataarticle · 2 shared references

Details

Year2007

Typearticle

Published2007-02-28

VenueStatistical Papers

ISSN-L0932-5026

Languageen

Citations76

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s00362-006-0336-5

openalex_workW4234292947

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