Modelling the dependence structure of financial assets: A survey of four copulas

Aas, Kjersti

December 01, 2004

SAMBA

• Areas: Finance, insurance and power market
• Keywords: Copulas, Gaussian,Student's t, Gumbel, Clayton, dependence measures, estimation, simulation
• Page(s): 18
• Name and number of project: 220195
• Title: Modelling the dependence structure of financial assets: A survey of four copulas
• Author(s): Aas, Kjersti
• Report number: SAMBA/22/04
• Published date: December 01, 2004