Modified Gaussian pseudo-copula: Applications in insurance and finance-Reference-Cited by-同舟云学术

Modified Gaussian pseudo-copula: Applications in insurance and finance

Published:2013-07 Issue:1 Volume:53 Page:292-301
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Fang Y.,Madsen L.

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference37 articles.

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2. Berg, D., Bakken, H., 2005. A goodness-of-fit test for copulae based on the probability integral transform, Note, Norwegian Computing Center, SAMBA/41/05. Norsk Regnesentral, Oslo, Norway.

3. Financial risk and heavy tails;Bradley,2003

4. Dynamic copula methods in finance;Cherubini,2011

5. Copula Odels in Finance;Cherubini,2004

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