Copulae in Mathematical and Quantitative Finance - Lecture Notes in Statistics
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Published By Springer Berlin Heidelberg

9783642354069, 9783642354076

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The Limiting Properties of Copulas Under Univariate Conditioning

Copulae in Mathematical and Quantitative Finance - Lecture Notes in Statistics ◽

10.1007/978-3-642-35407-6_7 ◽

2013 ◽

pp. 129-163 ◽

Author(s):

Piotr Jaworski

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CIID Frailty Models and Implied Copulas

Copulae in Mathematical and Quantitative Finance - Lecture Notes in Statistics ◽

10.1007/978-3-642-35407-6_10 ◽

2013 ◽

pp. 201-230 ◽

Author(s):

Jan-Frederik Mai ◽

Matthias Scherer ◽

Rudi Zagst

Keyword(s):

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Modeling Time-Varying Dependencies Between Positive-Valued High-Frequency Time Series

Copulae in Mathematical and Quantitative Finance - Lecture Notes in Statistics ◽

10.1007/978-3-642-35407-6_6 ◽

2013 ◽

pp. 115-127 ◽

Author(s):

Nikolaus Hautsch ◽

Ostap Okhrin ◽

Alexander Ristig

Keyword(s):

Time Series ◽

High Frequency ◽

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Toward a Copula Theory for Multivariate Regular Variation

Copulae in Mathematical and Quantitative Finance - Lecture Notes in Statistics ◽

10.1007/978-3-642-35407-6_9 ◽

2013 ◽

pp. 177-199 ◽

Author(s):

Haijun Li

Keyword(s):

Regular Variation ◽

Multivariate Regular Variation ◽

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Assessing and Modeling Asymmetry in Bivariate Continuous Data

Copulae in Mathematical and Quantitative Finance - Lecture Notes in Statistics ◽

10.1007/978-3-642-35407-6_5 ◽

2013 ◽

pp. 91-114 ◽

Author(s):

Christian Genest ◽

Johanna G. Nešlehová

Keyword(s):

Continuous Data

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Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives

Copulae in Mathematical and Quantitative Finance - Lecture Notes in Statistics ◽

10.1007/978-3-642-35407-6_13 ◽

2013 ◽

pp. 277-288

Author(s):

Bertrand Tavin

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Vector Generalized Linear Models: A Gaussian Copula Approach

Copulae in Mathematical and Quantitative Finance - Lecture Notes in Statistics ◽

10.1007/978-3-642-35407-6_12 ◽

2013 ◽

pp. 251-276

Author(s):

Peter X.-K. Song ◽

Mingyao Li ◽

Peng Zhang

Keyword(s):

Generalized Linear Models ◽

Linear Models ◽

Gaussian Copula ◽

Copula Approach

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A Convolution-Based Autoregressive Process

Copulae in Mathematical and Quantitative Finance - Lecture Notes in Statistics ◽

10.1007/978-3-642-35407-6_1 ◽

2013 ◽

pp. 1-15 ◽

Author(s):

Umberto Cherubini ◽

Fabio Gobbi

Keyword(s):

Autoregressive Process

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Copula-Based Models for Multivariate Discrete Response Data

Copulae in Mathematical and Quantitative Finance - Lecture Notes in Statistics ◽

10.1007/978-3-642-35407-6_11 ◽

2013 ◽

pp. 231-249 ◽

Author(s):

Aristidis K. Nikoloulopoulos

Keyword(s):

Response Data ◽

Discrete Response

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Singular Mixture Copulas

Copulae in Mathematical and Quantitative Finance - Lecture Notes in Statistics ◽

10.1007/978-3-642-35407-6_8 ◽

2013 ◽

pp. 165-175 ◽

Author(s):

Dominic Lauterbach ◽

Dietmar Pfeifer

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