The COPULA Procedure

References

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  • Fisher, N. I., and Switzer, P. (2001). “Graphical Assessment of Dependence: Is a Picture Worth 100 Tests?” American Statistician 55:233–239.

  • Galiani, S. S. (2003). Copula Functions and Their Application in Pricing and Risk Managing Multiname Credit Derivative Products. Master’s thesis, King’s College London. http://www.defaultrisk.com/pp_crdrv_41.htm.

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  • Mendes, B. V. M., de Melo, E. F. L., and Nelsen, R. B. (2007). “Robust Fits for Copula Models.” Communications in Statistics—Simulation and Computation 36:997–1008.

  • Nelsen, R. B. (2006). An Introduction to Copulas. 2nd ed. New York: Springer.

  • Nolan, J. P. (2010). Stable Distributions: Models for Heavy Tailed Data. Boston: Birkhäuser.

  • Rüschendorf, L. (2009). “On the Distributional Transform, Sklar’s Theorem, and the Empirical Copula Process.” Journal of Statistical Planning and Inference 11:3921–3927.

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  • Wu, F., Valdez, E., and Sherris, M. (2007). “Simulating from Exchangeable Archimedean Copulas.” Communications in Statistics—Simulation and Computation 36:1019–1034.