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Titel:

What makes dependence modeling challenging? Pitfalls and ways to circumvent them

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Mai, J.-F.; Scherer, M
Nicht-TUM Koautoren:
nein
Kooperation:
-
Abstract:
We present a list of challenges one faces when given the task of modeling dependence between stochastic objects, with a special focus on financial applications. Our aim is to draw the readers’ attention to common (and not so common) pitfalls and fallacies, and we particularly address readers who are new to dependence modeling. The presented list of challenges is clearly not complete, but it gives a flavor of how difficult and subtle the task of dependence modeling can be. Moreover, the readers s...     »
Intellectual Contribution:
Contribution to Practice
Zeitschriftentitel:
Statistics and Risk Modeling
Jahr:
2013
Band / Volume:
30
Heft / Issue:
4
Seitenangaben Beitrag:
287–306
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1524/strm.2013.2001
Verlag / Institution:
Oldenbourg Wissenschaftsverlag
Verlagsort:
München
Status:
Verlagsversion / published
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Format:
Text
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Ja
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