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Volume 15, Issue 7-8

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The European Journal of Finance, Volume 15, Issue 7-8 (2009)

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The European Journal of Finance, Volume 15, Issue 7-8 (2009)

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COPULAE AND MULTIVARIATE PROBABILITY DISTRIBUTIONS IN FINANCE

Preface

Introduction

Preface

Chris Adcock

Page: 607

Published online: 09 Dec 2009

CitationforPreface | Full Text | PDF (36.1 KB)

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Original Articles

Article

The Advent of Copulas in Finance

Christian Genest, Michel Gendron & Michaël Bourdeau-Brien

Pages: 609-618

Published online: 16 Jan 2009

AbstractforThe Advent of Copulas in Finance | Full Text | References | PDF (286.7 KB)

1379 Views
118 CrossRef citations
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Article

Testing for structural changes in exchange rates’ dependence beyond linear correlation

Alexandra Dias & Paul Embrechts

Pages: 619-637

Published online: 06 Nov 2007

AbstractforTesting for structural changes in exchange rates’ dependence beyond linear correlation | Full Text | References | PDF (206.5 KB)

315 Views
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Article

Models for construction of multivariate dependence – a comparison study

Kjersti Aas & Daniel Berg

Pages: 639-659

Published online: 17 Dec 2008

AbstractforModels for construction of multivariate dependence – a comparison study | Full Text | References | PDF (841.9 KB)

737 Views
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Article

Dependency without copulas or ellipticity

William T. Shaw & Asad Munir

Pages: 661-674

Published online: 19 Feb 2009

AbstractforDependency without copulas or ellipticity | Full Text | References | PDF (597.5 KB)

146 Views
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Article

Copula goodness-of-fit testing: an overview and power comparison

Daniel Berg

Pages: 675-701

Published online: 19 Feb 2009

AbstractforCopula goodness-of-fit testing: an overview and power comparison | Full Text | References | PDF (384.1 KB)

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Article

Asymmetric dependence patterns in financial time series

Manuel Ammann & Stephan Süss

Pages: 703-719

Published online: 29 May 2009

AbstractforAsymmetric dependence patterns in financial time series | Full Text | References | PDF (1.5 MB)

264 Views
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Article

Dynamic copula quantile regressions and tail area dynamic dependence in Forex markets

Eric Bouyé & Mark Salmon

Pages: 721-750

Published online: 09 Jun 2009

AbstractforDynamic copula quantile regressions and tail area dynamic dependence in Forex markets | Full Text | References | PDF (1.5 MB)

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Article

Risk and return of reinsurance contracts under copula models

Martin Eling & Denis Toplek

Pages: 751-775

Published online: 12 May 2009

AbstractforRisk and return of reinsurance contracts under copula models | Full Text | References | PDF (856.4 KB)

234 Views
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Article

Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market

Dominique Guégan & Jing Zang

Pages: 777-795

Published online: 09 Jun 2009

AbstractforPricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market | Full Text | References | PDF (684.9 KB)

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The European Journal of Finance (Vol.15, Iss.7-8, 2009)

COPULAE AND MULTIVARIATE PROBABILITY DISTRIBUTIONS IN FINANCE

COPULAE AND MULTIVARIATE PROBABILITY DISTRIBUTIONS IN FINANCE

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