Penikas, H. - In: Journal of the New Economic Association (2010) 7, pp. 24-44
The paper aims at introducing copula-models' concepts and its application to solving such financials programs as risk … measurement, risk hedging, portfolio optimization, derivatives pricing and duration models evaluation. For the purpose the copula … definition is firstly introduced. Then different copula families, model estimation and inference techniques are discussed. A …
