Transform MCMC Schemes for Sampling Intractable Factor Copula Models
Author:
Funder
Fondation de l’École Polytechnique
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s11009-023-09983-4.pdf
Reference34 articles.
1. Andersen L, Sidenius J (2004) Extensions to the gaussian copula: Random recovery and random factor loadings. J Credit Risk 1(1):05
2. Ang A, Chen J (2002) Asymmetric correlations of equity portfolios. J Financ Econ 63(3):443–494. https://doi.org/10.1016/S0304-405X(02)00068-5
3. Asmussen S, Glynn P (2007) Stochastic simulation: Algorithms and analysis. Stochastic Modelling and Applied Probability 57. New York, NY: Springer. https://doi.org/10.1007/978-0-387-69033-9
4. Au SK, Beck J (2001) Estimation of small failure probabilities in high dimensions by subset simulation. Probab Eng Mech 16(4):263–277. https://doi.org/10.1016/S0266-8920(01)00019-4
5. Bartels M, Ziegelmann F (2016) Market risk forecasting for high dimensional portfolios via factor copulas with gas dynamics. Insurance Math Econom 70:66–79. https://doi.org/10.1016/j.insmatheco.2016.06.002
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