Time and Space Varying Copulas

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dc.creatorCrane, Glenis
dc.date2008-12-17
dc.date.accessioned2026-07-07T12:16:13Z
dc.date.available2026-07-07T12:16:13Z
dc.descriptionIn this article we review existing literature on dynamic copulas and then propose an n-copula which varies in time and space. Our approach makes use of stochastic differential equations, and gives rise to a dynamic copula which is able to capture the dependence between multiple Markov diffusion processes. This model is suitable for pricing basket derivatives in finance and may also be applicable to other areas such as bioinformatics and environmental science.
dc.identifierhttps://arxiv.org/abs/0812.3208
dc.identifierhttp://arxiv.org/abs/0812.3208
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/211730
dc.subjectStatistics Theory
dc.subjectAnalysis of PDEs
dc.subjectApplications
dc.titleTime and Space Varying Copulas
dc.typetext

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