The CCOPULA Procedure

References

• Cherubini, U., Luciano, E., and Vecchiato, W. (2004). Copula Methods in Finance. Chichester, UK: John Wiley & Sons.

• Devroye, L. (1986). Non-uniform Random Variate Generation. New York: Springer-Verlag. http://luc.devroye.org/rnbookindex.html.

• Marshall, A. W., and Olkin, I. (1988). “Families of Multivariate Distributions.” Journal of the American Statistical Association 83:834–841.

• McNeil, A., Frey, R., and Embrechts, P. (2005). Quantitative Risk Management: Concepts, Techniques, and Tools. Princeton, NJ: Princeton University Press.

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

• Sklar, A. (1959). “Fonctions de répartition à n dimensions et leurs marges.” Publications de l’Institut de Statistique de L’Université de Paris 8:229–231.

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