Copulas: Tales and facts-rejoinder

Extremes

Volumn 9, Issue 1, 2006, Pages 55-62

  Mikosch, Thomas ^a  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33751523266     PISSN: 13861999     EISSN: 1572915X     Source Type: Journal    
DOI: 10.1007/s10687-006-0024-9     Document Type: Conference Paper

References (9)

1. Andersen, T.G., Davis, R.A., Kreiss, J.-P., Mikosch, T. (eds.): Handbook of Financial Time Series. Springer, Berlin Heidelberg New York, (2007) (in press)
2. Barndorff-Nielsen, O.E., Shephard, N.: Modelling by Lévy processes for financial econometrics. In: Barndorf-Nielsen, O.E., Mikosch T., Resnick, S.I. (eds.) Lévy Processes: Theory and Applications, pp. 283-318. Birkhauser, Boston (2001)
3. Glasserman, P.: Monte-Carlo Methods in Financial Engineering. Springer, Berlin Heidelberg New York (2004)
4. Joe, H.: Multivariate Models and Dependence Concepts. Chapman & Hall, London (1997)
5. Kloeden, P.E., Platen, E.: Numerical Solution of Stochastic Differential Equations. Springer, Berlin Heidelberg New York (1992)
6. Nelsen, R.B.: An Introduction to Copulas. Lecture Notes in Statistic, vol. 139. Springer, Berlin Heidelberg New York (1999)
7. Resnick, S.I.: Extreme Values, Regular Variation, and Point Processes. Springer, Berlin Heidelberg New York (1987)
8. Rüschendorf, L.: Stochastic ordering of risks, influence of dependence and a.s. constructions. In: Advances on Models, Characterizations and Applications. Stat. Textb. Monogr, vol. 180, pp. 19-56. Chapman & Hall, London, UK (2005)
9. Zolotarev, V.: Modern Theory of Summation of Random Variables. VSP, Utrecht, The Netherlands (1997)