New copulas based on general partitions-of-unity (part III) — the continuous case (original) (raw)
Related papers
Continuous partition-of-unity copulas and their application to risk management
2018
New copulas based on general partitions-of-unity and their applications to risk management
Dependence Modeling, 2016
New copulas based on general partitions-of-unity and their applications to risk management (part II)
Dependence Modeling, 2017
A flexible and tractable class of one-factor copulas
Statistics and Computing, 2015
Financial applications of flexible copula families based on mixing
Computing in Economics and Finance 2006, 2006
Copulas: A Review and Recent Developments
Stochastic Models, 2006
Copulae as a new tool in financial modelling
Operational Research, 2002
The Relations between Some Families of Copulas
Journal of Advances in Mathematics and Computer Science, 2021
Recent Developments in Copula Models
Econometrics, 2017
A two-component copula with links to insurance
Dependence Modeling
Copula theory: an introduction
2010
On uniform tail expansions of bivariate copulas
Applicationes Mathematicae, 2004
Some Statistical Pitfalls in Copula Modeling for Financial Applications
Social Science Research Network, 2004
On uniform tail expansions of multivariate copulas and wide convergence of measures
Applicationes Mathematicae, 2006
Bounds for value at risk – the approach based on copulas with homogeneous tails
A large class of new bivariate copulas and their properties
Brazilian Journal of Probability and Statistics
Copula Methods and the Analysis of Credit Risk
SSRN Electronic Journal, 2000
Umberto Cherubini, Elisa Luciano
2000
Involving copula functions in Conditional Tail Expectation
arXiv (Cornell University), 2012
Measuring financial risks with copulas
International Review of Financial Analysis, 2004
2012
Arthur Charpentier, Olivier Scaillet
Modeling dependence in finance and insurance: the copula approach
Blätter der DGVFM, 2003
On Some Construction Methods for Bivariate Copulas
Advances in Intelligent Systems and Computing, 2013
Selecting copulas for risk management
Journal of Banking & Finance, 2007
On Truncation Invariant Copulas and their Estimation
Dependence Modeling, 2017
Dynamic Copula Methods in Finance
2011
Modeling Bivariate Dependency in Insurance Data via Copula: A Brief Study
Journal of Risk and Financial Management
THE APPLICATION OF COPULAS IN PRICING DEPENDENT CREDIT DERIVATIVES INSTRUMENTS
2008
Extremal Copulas and Tail Dependence in Modeling Stochastic Financial Risk
European Journal of Pure and Applied Mathematics
Journal of Multivariate Analysis, 2018
On Conditional Value at Risk (CoVaR) for tail-dependent copulas
Dependence Modeling, 2017
Further Results for a General Family of Bivariate copulas
Communications in Statistics Theory and Methods, 2013
A recipe for bivariate copulas
Communications in Statistics - Theory and Methods
2013