Copulas and Tail Dependence in Finance (Q5139502)
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scientific article; zbMATH DE number 7283285
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Copulas and Tail Dependence in Finance |
scientific article; zbMATH DE number 7283285 |
Statements
Copulas and Tail Dependence in Finance (English)
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9 December 2020
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elliptical copula
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Archimedean copula
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Gaussian copula
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Student's \(t\) copula
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Clayton copula
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Gumbel copula
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tail dependence
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maximum likelihood estimation
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Sklar's theorem
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probability integral transform
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standardized Student's \(t\)-distribution
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