Archimedean-Copula-Based Models in Financial Risk Management

Penulis
Xu, Qing
Penerbit
LAP Lambert Academic
Diterbitkan
20121004
ISBN
9783838302935
Kawasan pendaftaran ISBN
Kawasan berbahasa Jerman (ISBN 978-3)

Huraian

Copula is used to model multivariate data, as it accounts for the dependence structure and provides a flexible representation of the multivariate distribution. Recently a large number of Archimedean copulas have been proposed to deal with various dependence aspects in financial risk management, which invokes several new questions in some important yet under-researched areas.