An empirical analysis of multivariate copula models

Quantitative Finance

Volumn 9, Issue 7, 2009, Pages 839-854

  Fischer, Matthias ^a   KÖck, Christian ^a   Schlüter, Stephan ^a   Weigert, Florian ^a  

^a UNIVERSITY OF ERLANGEN NUREMBERG   (Germany)

Author keywords

Hierarchical Archimedian; KS copula; Pair copula decomposition; Product copulas

Indexed keywords

EID: 78649323809     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680802595650     Document Type: Article

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