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Dependence Modeling
(Oct 2015)
Multivariate Markov Families of Copulas
Overbeck Ludger,
Schmidt Wolfgang M.
Affiliations
Overbeck Ludger
Justus-Liebig Universität Gießen, Institut of Mathematics, 35392 Gießen
Schmidt Wolfgang M.
Frankfurt School of Finance and Management, Sonnemannstr. 9-11, 60314 Frankfurt am Main
DOI
https://doi.org/10.1515/demo-2015-0011
Journal volume & issue
Vol. 3, no. 1
Abstract
Read online
No abstracts available.
Keywords
markov process
copula
chapman–kolmogorov equation
primary 60g07, secondary 60j05, 60j25
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