De copulis non est disputandum. Copulae: an overview

DOI10.1007/s10182-009-0118-1zbMath1443.62134OpenAlexW1560527582MaRDI QIDQ1635006

Ostap Okhrin, Wolfgang Karl Härdle

Publication date: 18 December 2018

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-009-0118-1

zbMATH Keywords

value-at-riskcopulaemultivariate dependence

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Related Items

Supermigrative copulas and positive dependence, Gaussian approximation of conditional elliptical copulas, Nonparametric Archimedean generator estimation with implications for multiple testing, Multivariate multiple test procedures based on nonparametric copula estimation, Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas, Fitting High-Dimensional Copulae to Data, Flexible pair-copula estimation in D-vines using bivariate penalized splines

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