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An approach to structure determination and estimation of hierarchical Archimedean Copulas and its application to Bayesian classification
16 references·1 citing·31 second hop
An approach to structure determination and estimation of hierarchical Archimedean Copulas and its application to Bayesian classification (2015)An approach to structure determination an…On the structure and estimation of hierarchical Archimedean copulas (2012)On the structure and estimati…Likelihood inference for Archimedean copulas in high dimensions under known margins (2012)Likelihood inference for Arch…Modeling Multivariate Distributions with Continuous Margins Using the copula R Package (2010)Modeling Multivariate Distrib…Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…Hierarchies of Archimedean copulas (2009)Hierarchies of Archimedean co…Copula goodness-of-fit testing: an overview and power comparison (2009)Copula goodness-of-fit testin…Sampling nested Archimedean copulas (2008)Sampling nested Archimedean c…Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …Goodness-of-fit tests for copulas: A review and a power study (2007)Goodness-of-fit tests for cop…Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Everything You Always Wanted …Copulas for Finance - A Reading Guide and Some Applications (2007)Copulas for Finance - A Readi…Insurance: Mathematics and Economics (2004)Insurance: Mathematics and Ec…A Decision-Theoretic Generalization of On-Line Learning and an Application to Boosting (1997)A Decision-Theoretic Generali…A desicion-theoretic generalization of on-line learning and an application to boosting (1995)A desicion-theoretic generali…Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Statistical Inference Procedu…On structure, family and parameter estimation of hierarchical Archimedean copulas (2017)On structure, family and para…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)An Introduction to Copulas (1999)Copula Methods in Finance (2004)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Understanding Relationships Using Copulas (1998)Extreme-Value Copulas (2010)Asymptotics of empirical copula processes under non-restrictive smoothness assumptions (2012)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Coherent Measures of Risk (1999)Measures of risk (2002)Weak convergence of empirical copula processes (2004)Dependence patterns across financial markets: a mixed copula approach (2006)Brownian Motion and Stochastic Calculus (2007)Modelling Dependence with Copulas and Applications to Risk Management (2003)The Nonstochastic Multiarmed Bandit Problem (2002)Prediction, Learning, and Games (2006)Survey on speech emotion recognition: Features, classification schemes, and databases (2010)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)An Application of Extreme Value Theory for Measuring Financial Risk (2006)Models for construction of multivariate dependence – a comparison study (2008)Construction of asymmetric multivariate copulas (2008)A Multimodal Database for Affect Recognition and Implicit Tagging (2011)The Faces of Engagement: Automatic Recognition of Student Engagementfrom Facial Expressions (2014)Evaluating multiple classifiers for stock price direction prediction (2015)
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References

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  • 2012On the structure and estimation of hierarchical Archimedean copulas166 cited
  • 2009

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Hierarchies of Archimedean copulas
165 cited
  • 2012Likelihood inference for Archimedean copulas in high dimensions under known margins143 cited
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    • 2017On structure, family and parameter estimation of hierarchical Archimedean copulas25 cited