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A class of multivariate copulas based on products of bivariate copulas · Study

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ArticleA class of multivariate copulas based on products of bivariate copulas

Gildas Mazo2015

OA

Articlebronze2015

A class of multivariate copulas based on products of bivariate copulas

Gildas Mazo · Stéphane Girard · Florence Forbes

32 citations·0/0 files stored·Journal of Multivariate Analysis

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Financial Risk and Volatility Modeling Statistical Distribution Estimation and Applications Bayesian Modeling and Causal Inference

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References

1999An Introduction to Copulas 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2007Pair-copula constructions of multiple dependence 2006Quantitative Risk Management: Concepts, Techniques, and Tools 1998Understanding Relationships Using Copulas 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions 2007The t Copula and Related Copulas 1999Dependence Measures for Extreme Value Analyses

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Year2015

Typearticle

Published2015-06-13

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations32

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jmva.2015.06.001

openalex_workW643300068

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