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Copulas: a Review and Recent Developments (2007)

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Frees, E.W, Valdez, E. (1998). Underst<strong>and</strong>ing Relationships Using <strong>Copulas</strong>. NorthAmerican Actuarial Journal, 2, 1-25.Galambos,J.(1978).The Asymptotic Theory of Extreme Order Statistics. Wiley &Sons: New York.Genest, C. (1987). Frank's family of bivariate distributions. Biometrika 74, 549-555.Genest, C., Rivest, C. (1993). Statistical inference procedures for bivariate Archimediancopulas. Journal of the American Statistical Association 88, 1034-1043.Genest, C., Ghoudi, K., Rivest, L.P. (1993). A semiparametric estimation procedureof dependence parameters in multivariate families of distributions. Biometrika82, 543-552.Genest, C., Quesada-Molina, J.J., Rodrigues-Lallena, J.A. (1995). De l'impossibilitede construire des lois µa marges multidimensionalles donnees µa partir de copules.C. R. Acad. Sci. Paris 320, 723-726.Genest, C., Quesada-Molina, J.J., Rodriguez Lallena, J.A., Sempi, C. (1999). Acharacterization of quasi-copulas. Journal of Multivariate Analysis 69, 193-205.Genest, C., Plante, J.F. (2003). On Blests measure of rank correlation. The CanadianJournal of Statistics 31, 1-18.Genest, C., Boies, J.-C. (2003). Detecting dependence with Kendall plots. TheAmerican Statistician 57, 275-284.Georges, P., Lamy, A-G., Nicolas, G., Quibel, G., Roncalli, T. (2001). Multivariatesurvival modeling: a uni¯ed approach with copulas. Working paper, Credit Lyonnais.Available at http://gro.creditlyonnais.fr/content/rd/home copulas.htmGhoudi, K., Khoudraji, A., Rivest, L.P. (1998). Proprietes statistiques des copulesde valeurs extr^emes bidimensionneles. Canadian J. of Statistics 26, 187-197.Goncalves,M.,Kolev,N.,Fabris,E.(2005). Bounds for distortion functions ofdependent risks via copulas. In Proc. Second Brazilian Conference on StatisticalModelling in Insurance <strong>and</strong> Finance, (Eds. N. Kolev <strong>and</strong> P. Morettin), (2005),122-127.Goorbergh, R.W.J. van der, Genest, C., Werker, B.J.M. (2005). Multivariate optionpricing using dynamic copula models. Forthcoming in Insurance: Mathematics<strong>and</strong> Economics.He®ernan, J.E. (2001). A directory of coe±cients of tail dependence. Extremes 3,279-290.41

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