A concept of copula robustness and its applications in quantitative risk management
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Publication:2675816
DOI10.1007/s00780-022-00485-8zbMath1498.91509OpenAlexW4295532957MaRDI QIDQ2675816
Publication date: 26 September 2022
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-022-00485-8
Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)
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Cites Work
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