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RSSCopula Theory and Its Applications | ||||||||||||||||||||||
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| Table of contents 1. Copula Theory: An Introduction Fabrizio Durante, Carlo Sempi 2. Dynamic Modeling of Dependence in Finance via Copulae Between Stochastic Processes Tomasz R. Bielecki, Jacek Jakubowski, Mariusz Niewęgłowski 3. Copula Estimation Barbara Choroś, Rustam Ibragimov, Elena Permiakova 4. Pair-Copula Constructions of Multivariate Copulas Claudia Czado 5. Risk Aggregation Paul Embrechts, Giovanni Puccetti 6. Extreme-Value Copulas Gordon Gudendorf, Johan Segers 7. Construction and Sampling of Nested Archimedean Copulas Marius Hofert 8. Tail Behaviour of Copulas Piotr Jaworski 9. Copulae in Reliability Theory (Order Statistics, Coherent Systems) Tomasz Rychlik 10. Copula-Based Measures of Multivariate Association Friedrich Schmid, Rafael Schmidt, Thomas Blumentritt, Sandra Gaißer, Martin Ruppert 11. Semi-copulas and Interpretations of Coincidences Between Stochastic Dependence and Ageing Fabio Spizzichino 12. A Copula-Based Model for Spatial and Temporal Dependence of Equity Markets Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci, Silvia Romagnoli 13. Nonparametric and Semiparametric Bivariate Modeling of Petrophysical Porosity-Permeability Dependence from Well Log Data Arturo Erdely, Martin Diaz-Viera 14. Testing Under the Extended Koziol-Green Model Auguste Gaddah, Roel Braekers 15. Parameter Estimation and Application of the Multivariate Skew Tõnu Kollo, Gaida Pettere 16. On Analytical Similarities of Archimedean and Exchangeable Marshall-Olkin Copulas Jan-Frederik Mai, Matthias Scherer 17. Relationships Between Archimedean Copulas and Morgenstern Utility Functions Jaap Spreeuw | ||||||||||||||||||||||
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