BOOK-CHAPTER

Copulas, Tail Dependence and Applications to the Analysis of Financial Time Series

Fabrizio Durante

Year: 2013 Advances in intelligent systems and computing Pages: 17-22   Publisher: Springer Nature
Keywords:
Copula (linguistics) Tail dependence Econometrics Extreme value theory Joint probability distribution Series (stratigraphy) Financial market Statistical physics Economics Computer science Mathematics Statistics Finance Physics Multivariate statistics Geology

Metrics

1
Cited By
1.23
FWCI (Field Weighted Citation Impact)
42
Refs
0.82
Citation Normalized Percentile
Is in top 1%
Is in top 10%

Citation History

Topics

Financial Risk and Volatility Modeling
Social Sciences →  Economics, Econometrics and Finance →  Finance
Complex Systems and Time Series Analysis
Social Sciences →  Economics, Econometrics and Finance →  Economics and Econometrics
Market Dynamics and Volatility
Social Sciences →  Economics, Econometrics and Finance →  Economics and Econometrics

Related Documents

JOURNAL ARTICLE

Financial dependence analysis: applications of vine copulas

David E. AllenMohammad AshrafMichael McAleerRobert PowellAbhay Kumar Singh

Journal:   Statistica Neerlandica Year: 2013 Vol: 67 (4)Pages: 403-435
JOURNAL ARTICLE

Vine copulas with asymmetric tail dependence and applications to financial return data

Aristidis K. NikoloulopoulosHarry JoeHaijun Li

Journal:   Computational Statistics & Data Analysis Year: 2010 Vol: 56 (11)Pages: 3659-3673
JOURNAL ARTICLE

Dynamic tail dependence clustering of financial time series

Giovanni De LucaPaola Zuccolotto

Journal:   Statistical Papers Year: 2015 Vol: 58 (3)Pages: 641-657
JOURNAL ARTICLE

Copulas and Financial Time Series

Arthur Charpentier

Journal:   OpenEdition (OpenEdition) Year: 2015
JOURNAL ARTICLE

Limiting Tail Dependence Copulas

Amir Ahmadi‐Javid

Journal:   Communication in Statistics- Theory and Methods Year: 2009 Vol: 38 (20)Pages: 3772-3781
© 2026 ScienceGate Book Chapters — All rights reserved.