Recognizing and visualizing copulas : an approach using local Gaussian approximation
Year of publication: |
2014
|
---|---|
Authors: | Berentsen, Geir Drage ; Støve, Bård ; Tjostheim, Dag ; Nordbø, Tommy |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 57.2014, p. 90-103
|
Subject: | Copulas | Goodness-of-fit | Local Gaussian correlation | Gaussian pseudo-observations | Diagnostic plots | Stochastischer Prozess | Stochastic process | Multivariate Verteilung | Multivariate distribution | Korrelation | Correlation | Theorie | Theory |
-
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł, (2014)
-
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł, (2011)
-
Mixed copula model with stochastic correlation for CDO pricing
Chen, Jianli, (2014)
- More ...
-
Portfolio allocation under asymmetric dependence in asset returns using local Gaussian correlations
Sleire, Anders D., (2022)
-
Støve, Bård, (2014)
-
Using local Gaussian correlation in a nonlinear re-examination of financial contagion
Støve, Bård, (2014)
- More ...