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copchapter.dvipaul embrechts, filip lindskog∗ and alexander mcneil∗∗ department of mathematics ethz september 10, 2001 ∗research of the second
copulas: a tool for modelling dependence in finance statistical methods in integrated risk management frontières en finance, paris, 01/26/2001 thierry roncalli groupe de…
modelling dependence in high dimensions with factor copulas� dong hwan ohy federal reserve board andrew j pattonz duke university first version: 31 may 2011 this version:…
modelling and simulation of dependence structures in nonlife insurance with bernstein copulas prof. dr. dietmar pfeifer dept. of mathematics, university of oldenburg and…
powerpoint presentation directional dependence using copulas molly olson faculty mentor: engin sungur objectives understanding the ideas of directional dependence, copulas,…
dependence modeling using copulascemracs 2013 ©eads iw (2013) dependence modeling using copulas cemracs 2013 1 / 43 content 6 more fun with copulas 7 link with markov
modelling dependence in finance using copulas∗ statistics 2001, concordia university, montréal† thierry roncalli groupe de recherche opérationnelle crédit lyonnais…
modelling dependence in high dimensions with factor copulas� dong hwan oh and andrew j patton duke university first version: 31 may 2011 this version: 9 april 2012 abstract…
modelling dependence with copulas and applications to risk management paul embrechts, filip lindskog∗ and alexander mcneil∗∗ department of mathematics ethz ch-8092…
chapter 9 multivariate volatility, dependence and copulas multivariate modeling is in many ways similar to modeling the volatility of a sin- gle asset. the primary challenges…
modelling the dependence structure of financial assets: a survey of four copulas norway n o r d ic -0.10 -0.05 0.0 0.05 -0 .0 5 0. 0 0. 05 0. 10 gaussian copula norway n…
modelling dependence in high dimensions with factor copulas� dong hwan oh and andrew j. patton duke university first version: 31 may 2011. this version: 9 april 2012 abstract…
modeling tail dependence using copulas — literature review jan de kort march 15, 2007 1 contents 1 bivariate copulas 5 1.1 sklar’s theorem . . . . . . . . . . . . . .…
erik kole ∗ kees koedijk† may 25, 2005 ∗corresponding author. address: p.o.box 1738, 3000 dr rotterdam, the netherlands. tel. +31 (0)10 408 13 58. e-mail:
jose miguel hernandez-lobato1,2 1department of engineering, cambridge university, cambridge, uk 3max planck institute for intelligent systems, tubingen, germany april 29,
mixture of d-vine copulas for modeling dependencecontents lists available at sciverse sciencedirect computational statistics and data analysis journal homepage: www.elsevier.com/locate/csda
introduction to copulas semiparametric archimedean copulas experiments with financial data modeling dependence in financial data with semiparametric archimedean copulas josé…
modelling multivariate count data using copulassubmitted on 19 nov 2010 hal is a multi-disciplinary open access archive for the deposit and dissemination of sci- entific
statistica applicata vol. 18, n. 4, 2006 573 copulas and dependence models in credit risk: diffusions versus jump 1 elisa luciano università di torino, collegio carlo alberto…
representations comparison results examples dependence models and copulas in coherent systems jorge navarro1 universidad de murcia, spain. e-mail: [email protected], 10th international…