Principles of Copula Theory explores the state of the art on copulas and provides you with the foundation to use copulas in a variety of applications. Throughout the book, historical remarks and ...
Copulas are functions that enable the construction of multivariate probability distributions by binding together univariate marginal distributions. Central to probability theory, they allow ...
We use extreme value theory and copula theory to model multivariate daily return distributions of hedge fund strategy indexes. Multivariate outliers in time series of hedge fund strategies are ...
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