Copulas Approximation and New Families

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Valdo Durrleman | Ashkan Nikeghbali | Thierry Roncalli

A general framework for testing homogeneity hypotheses about copulas

JOURNAL ARTICLE published 1 January 2016 in Electronic Journal of Statistics

Authors: Jean-François Quessy

Smooth test for equality of copulas

JOURNAL ARTICLE published 1 January 2024 in Electronic Journal of Statistics

Authors: Yves Ismaël Ngounou Bakam | Denys Pommeret

Partial and average copulas and association measures

JOURNAL ARTICLE published 1 January 2015 in Electronic Journal of Statistics

Authors: Irène Gijbels | Marek Omelka | Noël Veraverbeke

Modelling Asymmetric Dependence of Financial Returns with Multivariate Dynamic Copulas

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Valentin Braun | Martin Grziska

Modeling Asymmetric Dependence of Financial Returns with Multivariate Dynamic Copulas

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Valentin Braun | Martin Grizska

Multivariate Reduced Rank Regression in Non-Gaussian Contexts, Using Copulas

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Andréas Heinen | Erick Williams Rengifo

Testing the simplifying assumption in high-dimensional vine copulas

JOURNAL ARTICLE published 1 January 2022 in Electronic Journal of Statistics

Authors: Malte S. Kurz | Fabian Spanhel

Semiparametric Multivariate Density Estimation for Positive Data Using Copulas

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Taoufik Bouezmarni | J. V. K. Rombouts

Weak approximation of fractional SDEs: the Donsker setting

JOURNAL ARTICLE published 1 January 2010 in Electronic Communications in Probability

Authors: Xavier Bardina | Carles Rovira | Samy Tindel

Copulas, Multivariate Risk - Neutral Distributions and Implied Dependence Functions

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Sophie Coutant | Valdo Durrleman | Grégory Rapuch | Thierry Roncalli

Compound Poisson Approximation via Information Functionals

JOURNAL ARTICLE published 1 January 2010 in Electronic Journal of Probability

Authors: A. D. Barbour | Oliver Johnson | Ioannis Kontoyiannis | Mokshay Madiman

Pricing of Rainfall Derivatives by Modelling Multivariate Monsoon Rainfall Distribution using Gaussian and t Copulas

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Anand Shah

A Class of Multivariate Copula Which Can Be Determined by Its Marginal Copulas

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Hui Shao | Jingping Yang

Efficient Algorithms for Basket Default Swap Pricing with Multivariate Archimedean Copulas

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Geon Ho Choe | Hyun Jin Jang

Tensor Approximation of Generalized Correlated Diffusions for Decomposing Copulas: Part A

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Antonio Dalessandro | Gareth William Peters

Multivariate Spatial Sampling Design Using Copulas with an Environmental Application

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Mohomed Abraj | Mery Helen Thompson | You-Gan Wang

Multivariate Survival Modelling: A Unified Approach with Copulas

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Pierre Georges | Arnaud-Guilhem Lamy | Emeric Nicolas | Guillaume Quibel | Thierry Roncalli

Consistent Single- and Multi-Step Sampling of Multivariate Arrival Times: A Characterization of Self-Chaining Copulas

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Damiano Brigo | Kyriakos Chourdakis

Robust Portfolio Optimization with Multivariate Copulas: A Worst-Case CVaR approach

JOURNAL ARTICLE published in SSRN Electronic Journal

Authors: Fernando B. S. da Silva | Fllvio Ziegelman | Cristina Tessari