Evolution of bivariate copulas in discrete processes

DOI10.14495/JSIAML.3.77zbMath1271.65025OpenAlexW2055155232MaRDI QIDQ2843190

Naoyuki Ishimura, Yasukazu Yoshizawa

Publication date: 9 August 2013

Published in: JSIAM Letters (Search for Journal in Brave)

Full work available at URL: https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jsiaml&kijiCd=3_0_77&screenID=AF06S010&noVol=3&noIssue=0

zbMATH Keywords

copulaconvergenceheat equationnumerical experimentsnonlinear dependencerisk managementdiscrete processesfinite difference modelmultivariate random events

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Heat equation (35K05)

Related Items (1)

Evolution of Copulas in Discrete Processes with Application to a Numerical Modeling of Dependence Relation Between Exchange Rates

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