Modeling dependence based on mixture copulas and its application in risk management

DOI10.1007/s11766-009-2249-2zbMath1210.62137OpenAlexW1972612317MaRDI QIDQ603180

Xiang-Qun Yang, Hui Liao, Zi-Sheng Ouyang

Publication date: 5 November 2010

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-009-2249-2

zbMATH Keywords

value-at-riskdependenceback-testGaussian mixture copulas

Mathematics Subject Classification ID

Related Items (2)

Inference for accelerated bivariate dependent competing risks model based on Archimedean copulas under progressive censoring ⋮ A study of bivariate generalized Pareto distribution and its dependence structure among model parameters

Uses Software

• QRM

Cites Work

• A new algorithm based on copulas for VaR valuation with empirical calculations
• Modelling dependence
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