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Copulas of a Vector-Valued Stationary Weakly Dependent Process

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Listed:
  • Paul Doukhan

    (Crest)

  • Jean-David Fermanian

    (Crest)

  • Gabriel Lang

    (Crest)

Abstract

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Suggested Citation

  • Paul Doukhan & Jean-David Fermanian & Gabriel Lang, 2005. "Copulas of a Vector-Valued Stationary Weakly Dependent Process," Working Papers 2005-48, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2005-48
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    References listed on IDEAS

    as
    1. Patton, Andrew J, 2001. "Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula," University of California at San Diego, Economics Working Paper Series qt01q7j1s2, Department of Economics, UC San Diego.
    2. Gourieroux, C. & Laurent, J. P. & Scaillet, O., 2000. "Sensitivity analysis of Values at Risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 225-245, November.
    3. Jean-David Fermanian, 2003. "Goodness of Fit Tests for Copulas," Working Papers 2003-34, Center for Research in Economics and Statistics.
    4. van den Goorbergh, R.W.J. & Genest, C. & Werker, B.J.M., 2003. "Multivariate Option Pricing Using Dynamic Copula Models," Discussion Paper 2003-122, Tilburg University, Center for Economic Research.
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