Smooth nonparametric Bernstein vine copulas
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Publication:4555067
DOI10.1080/14697688.2016.1185141zbMath1402.91731arXiv1210.2043OpenAlexW3121876222MaRDI QIDQ4555067
Marcus Scheffer, Gregor N. F. Weiß
Publication date: 19 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1210.2043
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)
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