Copulas and Tail Dependence in Finance

DOI10.1142/9789811202391_0073zbMath1455.62200OpenAlexW3080296482MaRDI QIDQ5139502

Kim-Leng Goh, Wing-Choong Lai

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0073

zbMATH Keywords

maximum likelihood estimationArchimedean copulaprobability integral transformtail dependenceGaussian copulaSklar's theoremelliptical copulaClayton copulaGumbel copulaStudent's \(t\) copulastandardized Student's \(t\)-distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

This page was built for publication: Copulas and Tail Dependence in Finance