146
Views
8
CrossRef citations to date
0
Altmetric
Original Articles

Dependency without copulas or ellipticity

&
Pages 661-674 | Published online: 19 Feb 2009

References

  • Aas , K. and Haff , I. H. 2006 . The generalized hyperbolic skew Student's t-distribution . Journal of Financial Econometrics , 4 ( 2 ) : 275 – 309 .
  • Alfonsi , A. 2005 . On the discretization schemes for the CIR (and Bessel squared) processes . Monte Carlo Methods and Applications , 11 ( 4 ) : 355 – 84 .
  • Balakrishnan , N. and Basu , A. P. 1996 . The exponential distribution; theory, methods and applications , Boca Raton : CRC Press .
  • Baudoin , F. 2002 . Conditioned stochastic differential equations: Theory, applications and application to finance . Stochastic Processes and Their Applications , 100 : 109 – 45 .
  • Baxter , M. 2007 . RISK , October
  • Brody , D. C. , Hughston , L. P. and Macrina , A. 2007 . “ Beyond hazard rates: A new framework for credit-risk modelling ” . In Advances in mathematical finance, Festschrift volume in honour of DilipMadan , Edited by: Elliott , R. , Fu , M. , Jarrow , R. and Yen , J.-Y. Basel : Birkhäuser .
  • Carrillo , J. A. and Toscani , G. 2004 . Wasserstein metric and large-time asymptotics of nonlinear diffusion equations, in new trends in mathematical physics , NJ: 234 – 44 . Hackensack : World Science Publication .
  • Cherubini , U. , Luciano , E. and Vecchiato , W. 2004 . Copula methods in finance , Hoboken : Wiley .
  • Clayton , D. G. 1978 . A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence . Biometrika , 65 : 141 – 51 .
  • Diop , A. 2003 . Sur la discrétisation et le comportement à petit bruit d'EDS multidimensionnelles dont les coefficients sont à dérivées singulières . PhD thesis, INRIA. http://www.inria.fr/rrrt/tu-0785.html
  • Elderton , W. P. and Johnson , N. L. 1969 . Systems of frequency curves , Cambridge : Cambridge University Press .
  • Embrechts , P. , McNeil , A. J. and Straumann , D. 2002 . “ Correlation and dependence in risk management: Properties and pitfalls ” . In Risk management: Value at risk and beyond , Edited by: Dempster , M. A.H. 176 – 223 . Cambridge : Cambridge University Press .
  • Embrechts , P. , Lindskog , F. and McNeil , A. J. 2003 . “ Modelling dependence with copulas and applications to risk management ” . In Handbook of heavy tailed distributions in finance , Edited by: Rachev , S. 331 – 85 . Amsterdam : Elsevier .
  • Forman , J. L. and Sørensen , M. 2008 . The Pearson diffusions: A class of statistically tractable diffusion processes . Scandinavian Journal of Statistics , 35 ( 3 ) : 438 – 465 . http://www.math.ku.dk/~michael/pearson.pdf
  • Kotz , S. , Balakrishnan , N. and Johnson , N. L. 2000 . Models and applications. Vol. 1 Continuous multivariate distributions , 2 , Hoboken : Wiley Series in Probability and Statistics .
  • Lindskog , F. , McNeil , A. J. and Schmock , U. 2003 . “ Kendall's tau for elliptical distributions ” . In Credit risk-measurement, evaluation and management , Edited by: Bol , G. , Nakhaeizadeh , G. , Rachev , S. T. , Ridder , T. and Vollmer , K.-H. Heidelberg : Physica-Verlag .
  • Macrina , A. 2006 . “ An information-based framework for asset pricing: X-factor theory and its applications ” . London : King's College . PhD thesis, www.mth.kcl.ac.uk/finmath
  • McNeil , A. J. , Frey , R. and Embrechts , P. 2006 . Quantitative risk management , Princeton : Princeton University Press .
  • Nadarajah , S. 2007 . A bivariate distribution with normal and t marginals . Journal of Computational Analysis and Applications , 9 : 247 – 55 .
  • Nelsen , R. B. 2006 . An introduction to copulas , 2 , Heidelberg : Springer .
  • Pearson , K. 1916 . Second supplement to a memoir on skew variation . Philosophical Transactions of the Royal Society of London, Series A , 216 : 429 – 57 .
  • Shaw , W. T. 2008 . Share price movements in the post-credit-crunch environment . Working Paper, arxiv:0811.0182v2
  • Shaw , W. T. and Lee , K. T.A. 2008 . Bivariate student t distributions with variable marginal degrees of freedom and independence . Journal of Multivariate Analysis , 99 : 1276 – 1287 . DOI:10.1016/j.jmva.2007.08.006
  • Steinbrecher , G. and Shaw , W. T. 2008 . Quantile mechanics . European Journal of Applied Mathematics , 19 ( 2 ) : 87 – 112 . DOI:10.1017/S0956792508007341
  • Steinbrecher , G. and Weyssow , B. 2007 . Extreme anomalous particle transport at the plasma edge . Univ. of Craiova/Univ Libre de Bruxells, Working Paper, May 2007

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.