Thetcopula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management

DOI10.1080/14697680903085544zbMath1210.91060arXiv0710.3959OpenAlexW3098006641MaRDI QIDQ2994844

Xiaolin Luo, Pavel V. Shevchenko

Publication date: 29 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0710.3959

zbMATH Keywords

asymmetryrisk managementtail dependencegrouped \(t\) copula

Mathematics Subject Classification ID

Related Items (10)

Bayesian model choice of grouped \(t\)-copula ⋮ Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions ⋮ A novel positive dependence property and its impact on a popular class of concordance measures ⋮ Time-dependent copulas ⋮ Multivariate dependence modeling based on comonotonic factors ⋮ Corrigendum to: ``Tail dependence of skewed grouped \(t\)-distributions ⋮ On Pearson-Kotz Dirichlet distributions ⋮ Maximum likelihood estimation of skew-t copulas with its applications to stock returns ⋮ Robust calibration of hierarchical population models for heterogeneous cell populations ⋮ Jackknife empirical likelihood test for the equality of degrees of freedom in t-copulas

Uses Software

• QUADPACK
• QRM

Cites Work

• Tail dependence of skewed grouped \(t\)-distributions
• Vines -- a new graphical model for dependent random variables.
• Probability density decomposition for conditionally dependent random variables modeled by vines
• The t Copula and Related Copulas
• Sampling nested Archimedean copulas
• Assessing the accuracy of the maximum likelihood estimator: Observed versus expected Fisher information

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