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Title: Change-point analysis for dependence structures in finance and insurance
Authors: Da Costa Dias, Alexandra
Embrechts, P.
First Published: 1-Jun-2004
Publisher: Wiley
Citation: Da Costa Dias, A;Embrechts, P, Change-point analysis for dependence structures in finance and insurance, ed. Szegoe, G, 'Risk Measures for the 21st Century', Wiley, 2004, pp. 321-335
Abstract: Over the recent years, both in finance and insurance, the modelling of dependence beyond linear correlation has become a key area of research. The notion of copula has been used with success in order to model these more general dependence concepts. We will discuss changes in dependence structures by using change-point techniques for specific parametric copula families. Besides some basic theory, some applied examples will be presented.
Series/Report no.: Wiley Finance Series;
ISBN: 0470861541
Embargo on file until: 1-Jan-10000
Version: Post-print
Status: Peer-reviewed
Type: Chapter
Rights: Copyright © 2004, Wiley. All rights reserved. The file associated with this record is under a permanent embargo in accordance with the publisher's policy. The full text may be available through the publisher links provided above.
Appears in Collections:Books & Book Chapters, School of Management

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