On the recovery of joint distributions from limited information

By Douglas J. Miller, Wei‐han Liu. 2002

53 citations recorded by the source corpus.

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On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004, unknown): “In economics and finance, see Li (2000), Embrechts, Höing, and Juri (2001), Patton (2001a, 2001b), Rockinger and Jondeau (2001), Chen and Fan (2002a, 2002b), Mashal and Zeevi (2002), Miller and Liu (2002), Junker and May (2002), Fermanian and Scaillet (2003), and Rosenberg (2003).”
Copula Modeling: An Introduction for Practitioners (2007, methodology): “Miller and Liu (2002) mention the copula method in their survey of methods of recovering joint distributions from limited information.”
Characterizations of joint distributions, copulas, information, dependence and decoupling, with applications to time series (2006, methodology): “In recent years, copulas and related concepts in dependence modeling and measuring have been applied to a wide range of problems in economics, finance and risk management (e.g., Taylor [74], Fackler [23], Frees, Carriere and Valdez [25], Klugman and Parsa [46], Patton [61, 62], Richardson, Klose and”
Stochastic frontier models with dependent error components (2008, background): “Applications include Dardanoni and Lambert (2001) in economics, and Miller and Liu (2002) and Smith (2003) in econometrics.”