Multivariate Hierarchical Copulas with Shocks

Metadata only

Author

Date

2010-12

Type

Conference Paper

ETH Bibliography

yes

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Publication status

published

External links

Journal / series

Methodology and computing in applied probability

Volume

12(4)

Pages / Article No.

681 - 694

Publisher

Springer

Event

International Workshop on Applied Probability 2008 (IWAP 2008), Compiègne, France, July 7-10, 2008

Subject

Copula; Hierarchical structure; Marshall-Olkin distribution; Shock model; Singular component

Organisational unit

03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)

Notes

Published online 16 May 2009.

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ETH Bibliography

yes

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