Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li
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Publication:1994042
DOI10.1515/demo-2018-0007zbMath1404.62114OpenAlexW2809145445MaRDI QIDQ1994042
Giovanni Puccetti, Matthias Scherer
Publication date: 1 November 2018
Published in: Dependence Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/demo-2018-0007
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)
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Uses Software
Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- An introduction to copulas.
- My introduction to copulas. An interview with Roger Nelsen
- Building bridges between mathematics, insurance and finance. An interview with Paul Embrechts
- Understanding Relationships Using Copulas
- An Optimum Property of Regular Maximum Likelihood Estimation
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