Copulas: A Personal View

By Paul Embrechts. 2009

244 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/5f1394c32b89ccf669d81cf57bbf5529a18a811a

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Citations in the corpus

Monte Carlo and Quasi-Monte Carlo Sampling (2009, unknown): “Models based on copulas have become increasingly popular over the last ten years or so, for instance in biostatistics and risk management [104, 130].”
Copula based hierarchical risk aggregation through sample reordering (2012, background): “For further studies on the stochastic inconsistency and the fact that correlations between leaf nodes are portfolio dependent see Filipović (2009), Devineau and Loisel (2009) and Straßburger and Pfeifer (2008).”
Spatial contagion between financial markets: a copula-based approach (2010, unknown): “Relevant applications in finance are given, for example, in [11, 17, 18, 19, 20, 21 , 22].”
Copulas in Econometrics (2014, background): “The Fréchet problem in higher dimensions has also drawn attention recently; readers are referred to Embrechts (2009) for a brief account and references.”
The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis (2010, background): “An introduction to copulas can be found in Nelsen (2006) and a source of some of the more important references on the theory of copulas can be found in Embrechts (2009).”
International diversification: A copula approach (2011, unknown): “52 ) and Embrechts ( 2009 ) .”
Flexible Copula Density Estimation with Penalized Hierarchical B‐splines (2013, methodology): “A general overview and survey of recent contributions in copula modelling is found, for example, in Härdle & Okhrin (2009) or, from a more personal viewpoint, in Embrechts (2009); see also Kolev et al. (2006). A comprehensive collection of new approaches in copula estimation is provided in Jaworski ”
Probit Transformation for Nonparametric Kernel Estimation of the Copula Density (2014, background): “Other, more compact reviews include Genest and Favre (2007), H¨ardle and Okhrin (2009) and Embrechts (2009).”
Efficient Estimation of Copula-Based Semiparametric Markov Models (2009, background): “See Embrechts, McNeil and Straumann (2002), McNeil, Frey and Embrechts (2005), Embrechts”
Statistics and Quantitative Risk Management for Banking and Insurance (2014, background): “Embrechts (2009) also recalls some of the early discussions between protagonists and antagonists of the usefulness of copulas in insurance and finance in general and QRM in particular.”
Dependence modeling in non-life insurance using the Bernstein copula (2012, background): “Goodness-of-fit is an aspect usually not considered in the literature on copula modeling and calibration (Embrechts, 2009).”
Copula Theory: An Introduction (2010, background): “Several criticisms have been recently raised about copulas and their applications, and several people started to speak about “copula craze” [56].”