Keyword

copulas

Description: Copulas are mathematical functions that describe dependence between random variables by joining their marginal probability distributions.

Primary topic: Financial Risk and Volatility Modeling (22%)

Wikidata ID: wiki/Q1131601

OpenAlex ID: keywords/copulas

An Introduction to Copulas

1999 · Roger B. Nelsen · Lecture notes in statistics · 7,743

Multivariate Data Analysis

2018 · Jussi Klemelä · Wiley series in probability and statistics · 3,516

Language in the inner city: studies in the Black English Vernacular. By William Labov. Philadelphia: University of Pennsylvania Press, 1972. Pp. xxiv, 412. $6.95.

1975 · Robbins Burling · Language · 3,019

Value At Risk: The New Benchmark for Managing Financial Risk

2000 · Phhilippe Jorion · 2,478

Frequency and the Emergence of Linguistic Structure

2001 · Typological studies in language · 2,240

Quantitative Risk Management: Concepts, Techniques, and Tools

2005 · Alexander J. McNeil, Rdiger Frey, et al. · 2,201

Modelling Asymmetric Exchange Rate Dependence*

2006 · Andrew J. Patton · International Economic Review · 2,116

Copula Methods in Finance

2004 · Umberto Cherubini, Elisa Luciano, et al. · Wiley eBooks · 2,012

Correlation and Dependence in Risk Management: Properties and Pitfalls

2002 · Paul Embrechts, Alexander J. McNeil, et al. · Risk Management · 1,989

Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask

2007 · Christian Genest, Anne-Catherine Favre · Journal of Hydrologic Engineering · 1,619

Aggregation Functions

2009 · Michel Grabisch, Jean-Luc Marichal, et al. · Cambridge University Press eBooks · 1,608

Dependence Modeling with Copulas

2014 · Harry Joe · Chapman & Hall/CRC eBooks · 1,559

Goodness-of-fit tests for copulas: A review and a power study

2007 · Christian Genest, Bruno Rémillard, et al. · Insurance Mathematics and Economics · 1,319

Understanding Relationships Using Copulas

1998 · Edward W. Frees, Emiliano A. Valdez · North American Actuarial Journal · 1,258

On Default Correlation

2000 · David X. Li · The Journal of Fixed Income · 1,257

A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions

1995 · C. GENEST, K. GHOUDI, et al. · Biometrika · 1,225

Handling Endogenous Regressors by Joint Estimation Using Copulas

2012 · Sungho Park, Sachin Gupta · Marketing Science · 1,143

Modelling Dependence with Copulas and Applications to Risk Management

2003 · Paul Embrechts, Filip Lindskog, et al. · Elsevier eBooks · 1,056

Quantitative Risk Management

2011 · Paul Embrechts · International Encyclopedia of Statistical Science · 985

The t Copula and Related Copulas

2007 · Stefano Demarta, Alexander J. McNeil · International Statistical Review · 962

Multivariate Standardized Drought Index: A parametric multi-index model

2013 · Zengchao Hao, Amir AghaKouchak · Advances in Water Resources · 961

Econometric Analysis of Count Data

2003 · Rainer Winkelmann · Springer eBooks · 945

An Introduction to Copulas (Springer Series in Statistics)

2006 · Roger B. Nelsen · Springer eBooks · 882

Copula Modeling: An Introduction for Practitioners

2007 · Pravin K. Trivedi, David M. Zimmer · Foundations and Trends® in Econometrics · 876

The Joy of Copulas: Bivariate Distributions with Uniform Marginals

1986 · Christian Genest, Jock Mackay · The American Statistician · 790

Works count: 19,800

Citation count: 243,800