A copula-based heuristic for scenario generation
Author:
Publisher
Springer Science and Business Media LLC
Subject
Information Systems,Management Information Systems
Link
http://link.springer.com/content/pdf/10.1007/s10287-013-0184-4.pdf
Reference17 articles.
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2. Dupačová J, Consigli G, Wallace SW (2000) Scenarios for multistage stochastic programs. Annals Oper Res 100(1–4):25–53. doi: 10.1023/A:1019206915174
3. Forrest J, Lougee-Heimer R (2005) CBC user guide. In: Greenberg HJ, Smith JC (eds) Tutorials in Operations research, INFORMS, chapter $$10$$ 10 , pp 257–277
4. Høyland K, Kaut M, Wallace SW (2003) A heuristic for moment-matching scenario generation. Comput Optim Appl 24(2–3):169–185. doi: 10.1023/A:1021853807313
5. Hu L (2006) Dependence patterns across financial markets: a mixed copula approach. Appl Financial Econ 16(10):717–729. doi: 10.1080/09603100500426515
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