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| Tekijä: | Dias, A. Salmon, M. (guest eds.) |
| Otsikko: | Special issue: Copulae and multivariate probability distributions in finance |
| Lehti: | European Journal of Finance
2009 : OCT/DEC, VOL. 15:7-8, p. 606 |
| Asiasana: | finance portfolio management risk management derivative securities pricing |
| Vapaa asiasana: | bibliometry |
| Kieli: | eng |
| Tiivistelmä: | This Special issue's contents is the following: "The advent of copulas in finance" by C. Genest, M. Gendron and M. Bourdeau-Brien ; "Testing for structural changes in exchange rates' dependence beyond linear correlation" by A. Dias and P. Embrechts ; "Models for construction of multivariate dependence - A comparison study" by K. Aas and D. Berg ; "Dependency without copulas or ellipticity" by W. Shaw and A. Munir ; "Copula goodness-of-fit testing: An overview and power comparison" by D. Berg ; "Asymmetric dependence patterns in financial time series" by M. Ammann and S. Suss ; "Dynamic copula quantile regressions and tail area dynamic dependence in Forex markets" by E. Bouye and M. Salmon ; "Risk and return of reinsurance contracts under copula models" by M. Eling and D. Toplek ; "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market" by D. Guegan and J. Zang. |
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