Modeling Dependencies with Copulae

DOI10.1007/978-3-540-69179-2_1zbMath1258.91224OpenAlexW249562193MaRDI QIDQ3542243

Yarema Okhrin, Ostap Okhrin, Wolfgang Karl Härdle

Publication date: 1 December 2008

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

Full work available at URL: https://nbn-resolving.org/urn:nbn:de:bvb:384-opus4-475554

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (2)

Time-varying copula models for financial time series ⋮ HMM and HAC

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