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

2013 ◽  
pp. 115-127 ◽  
Author(s):  
Nikolaus Hautsch ◽  
Ostap Okhrin ◽  
Alexander Ristig
Keyword(s):  
Time Series ◽  
High Frequency ◽  
Time Varying

CIID Frailty Models and Implied Copulas

2013 ◽  
pp. 201-230 ◽  
Author(s):  
Jan-Frederik Mai ◽  
Matthias Scherer ◽  
Rudi Zagst
Keyword(s):  
Frailty Models

Assessing and Modeling Asymmetry in Bivariate Continuous Data

2013 ◽  
pp. 91-114 ◽  
Author(s):  
Christian Genest ◽  
Johanna G. Nešlehová
Keyword(s):  
Continuous Data

Vector Generalized Linear Models: A Gaussian Copula Approach

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

A Convolution-Based Autoregressive Process

2013 ◽  
pp. 1-15 ◽  
Author(s):  
Umberto Cherubini ◽  
Fabio Gobbi
Keyword(s):  
Autoregressive Process

Singular Mixture Copulas

2013 ◽  
pp. 165-175 ◽  
Author(s):  
Dominic Lauterbach ◽  
Dietmar Pfeifer
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