Models for construction of multivariate dependence

Berg, Daniel; Aas, Kjersti

June 01, 2007

SAMBA

• Areas: Finance, Insurance and commodity markets
• Keywords: Multivariate models, Nested Archimedean copulas, Pair-copula constructions
• Page(s): 28
• Name and number of project: 220095
• Title: Models for construction of multivariate dependence
• Author(s): Berg, Daniel; Aas, Kjersti
• Report number: SAMBA/23/07
• Published date: June 01, 2007