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出处 《高校应用数学学报(A辑)》 CSCD 北大核心 2005年第1期90-90,共1页 Applied Mathematics A Journal of Chinese Universities(Ser.A)
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参考文献5

二级参考文献22

  • 1[1]Nelsen, R. B (1998), An Introduction to Copulas, Lectures Notes in Statistics, 139,Springer Verlag, New York.
  • 2[2]Embrechts, P., Lindskog, F. And McNeil, A. (2001), Modelling Dependence with Copulas and Applications to Risk Management. Dept. of Math. CH-8092, Zürich, Switzerland.
  • 3[3]Bouyé, E. (2000), Copulas for Finance, A Reading Guide and Some Applications. City University Business School,London.
  • 4Sklar A. Fonctions de repartition àn dimensions et leurs marges[J]. Publication de l′Institut de Statistique de l′Université de Paris,1959,8:229~231.
  • 5Nelsen R B. An introduction to Copulas[M]. New York: Springer, 1998.
  • 6Frees E W, Valdez E A. Understanding relationships using Copulas[J]. North American Actuarial Journal, 1998, 2 (1):1~25.
  • 7Patton A J. Modeling time-varying exchange rate dependence using the conditional Copula[R]. Working paper of London School of Economics & Political Science,2001.
  • 8Bouyé E,Durrleman V,Nikeghbali A. Copulas for finance:a reading guide and some applications[R]. Working Paper of City University Business School, 2000.
  • 9Cossette H, Gaillardetz P, Marceau E. On two dependent individual risk models[J]. Insurance: Mathematics and Economics, 2002,30:153~166.
  • 10Patton A J. Estimation of Copula models for time series of possibly different lengths[R]. Working paper of London School of Economics & Political Science,2001.

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