Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index (Q629513)
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scientific article; zbMATH DE number 5863150
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index |
scientific article; zbMATH DE number 5863150 |
Statements
Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index (English)
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9 March 2011
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Archimedean copulas
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nonparametric estimation
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iTraxx CDS index
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kurtosis of equity return distribution
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default risk
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