Perturbed Gaussian copula
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Publication:3572012
DOI10.1016/S0731-9053(08)22005-0zbMath1189.91224MaRDI QIDQ3572012
Jean-Pierre Fouque, Xianwen Zhou
Publication date: 30 June 2010
Published in: Econometrics and Risk Management (Search for Journal in Brave)
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Credit risk (91G40)
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