Copulae in Mathematical and Quantitative Finance

Proceedings of the Workshop Held in Cracow, 10-11 July 2012

Editors:

ISBN: 978-3-642-35406-9 (Print) 978-3-642-35407-6 (Online)

Table of contents (13 chapters)

  1. Front Matter

    Pages i-xii

  2. No Access

    Book Chapter

    Pages 1-15

    A Convolution-Based Autoregressive Process

  3. No Access

    Book Chapter

    Pages 17-37

    Selection of Vine Copulas

  4. No Access

    Book Chapter

    Pages 39-60

    Copulas in Machine Learning

  5. No Access

    Book Chapter

    Pages 61-89

    An Overview of the Goodness-of-Fit Test Problem for Copulas

  6. No Access

    Book Chapter

    Pages 91-114

    Assessing and Modeling Asymmetry in Bivariate Continuous Data

  7. No Access

    Book Chapter

    Pages 115-127

    Modeling Time-Varying Dependencies Between Positive-Valued High-Frequency Time Series

  8. No Access

    Book Chapter

    Pages 129-163

    The Limiting Properties of Copulas Under Univariate Conditioning

  9. No Access

    Book Chapter

    Pages 165-175

    Singular Mixture Copulas

  10. No Access

    Book Chapter

    Pages 177-199

    Toward a Copula Theory for Multivariate Regular Variation

  11. No Access

    Book Chapter

    Pages 201-230

    CIID Frailty Models and Implied Copulas

  12. No Access

    Book Chapter

    Pages 231-249

    Copula-Based Models for Multivariate Discrete Response Data

  13. No Access

    Book Chapter

    Pages 251-276

    Vector Generalized Linear Models: A Gaussian Copula Approach

  14. No Access

    Book Chapter

    Pages 277-288

    Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives

  15. Back Matter

    Pages 289-294