Principles of Copula Theory

580 citations recorded by the source corpus.

Subfields: Finance

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Forecasting: theory and practice (2020, background): “ence. This review focuses on the Bayesian approach for copula forecasting. For rigorous topics on copula introduction (Nelsen, 2006; Trivedi and Zimmer, 2007; Joe, 1997), copula modelling techniques (Durante and Sempi, 2015), vine copulas (Joe, 2014), review on frequentist approaches for copula-base”
Modeling the spatial dependence of floods using the Fisher copula (2019, methodology): “…for high and low values (Bárdossy and Li, 2008), which implies tail symmetry For a theoretical introduction to copulas, the reader is referred to Durante and Sempi (2015), Joe (2014), or Nelsen (2005), and for an introduction with an engineering focus to Genest and Favre (2007), Salvadori et…”