Copulas for bivariate probability distributions

Electronics Letters

Volumn 43, Issue 4, 2007, Pages 248-249

  Durrani, T S ^a   Zeng, X ^a  

^a UNIVERSITY OF STRATHCLYDE   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

PROBABILITY DISTRIBUTIONS; SIGNAL PROCESSING;

BIVARIATE EXPONENTIAL; COPULAS; RANDOM VARIABLES; RAYLEIGH DISTRIBUTIONS;

RANDOM PROCESSES;

EID: 33847116745     PISSN: 00135194     EISSN: None     Source Type: Journal    
DOI: 10.1049/el:20073737     Document Type: Article

References (5)

1. Koizol, P., and Kunisch, M.: ' Analysis of copula functions and applications to credit risk management ', Financial Management Workshop, Ulm, USA, 2005, http://www.mathematik.uni-ulm.de/finmath/confpage/papers/koziol.pdf
2. Embrechts, P., McNeil, A., and Straumann, D.: ' Correlation: pitfalls and alternatives ', Risk, 1999, 5, p. 69-71
3. Cherubini, U., Luciano, E., and Vecchiato, W.: ' Copula methods in finance ', (Wiley, 2004)
4. Sklar, A.: ' Fonctions de repartition a n-dimensions et leurs marges ', (Publication de l'Institute de Satistique de l'Université de Paris, 1959 8, p. 229-231
5. Nelsen, R.B.: ' An introduction of copulas ', (Springer, New York, 1999)