Estimating copula densities through wavelets

Insurance: Mathematics and Economics

Volumn 44, Issue 2, 2009, Pages 170-181

  Genest, Christian ^a   Masiello, Esterina ^b   Tribouley, Karine ^b,c  

^a UNIVERSITÉ LAVAL   (Canada)

^b UNIVERSITÉ PARIS OUEST NANTERRE LA DÉFENSE   (France)

^c University of Paris VII LPSM partially supported by ERC Starting Grant 680275 MALIG   (France)

Author keywords

Copulas; Non parametric estimation; Ranks; Wavelets

Indexed keywords

EID: 63449084304     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2008.07.006     Document Type: Article

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