Modeling dependence based on mixture copulas and its application in risk management
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s11766-009-2249-2.pdf
Reference8 articles.
1. Beatriz Vaz de M M, Rafael M de S. Measuring financial risks with copulas, International Review of Financial Analysis, 2004, 13: 27–45.
2. Cheng G, Li P, Shid P. A new algorithm based on copulas for VaR valuation with empirical calculations, Theoret Comput Science, 2007, 378: 190–197.
3. Cherubini U, Luciano E. Copula Methods in Finance, New York: John Wiley & Sons, Ltd, 2004.
4. Embrechts P, Filip L. Modeling dependence with Copulas and applications to risk management, In: Rachev, Handbook of Heavy Tailed Distributions in Finance, Amsterdam: Elsevier, 2003: 329–384.
5. Kallenberg W C M. Modelling dependence, Insurance: Mathematics and Economics, 2008, 42(1): 147–153.
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