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A method to obtain new copulas from a given one
2 references·9 citing·23 second hop
A method to obtain new copulas from a given one (2005)A method to obtain new copulas from a giv…An Introduction to Copulas (1999)An Introduction to CopulasThe Asymptotic Theory of Extreme Order Statistics (1990)The Asymptotic Theory of Extr…Modelling mortality dependence: An application of dynamic vine copula (2021)Modelling mortality dependenc…Default probability estimation via pair copula constructions (2015)Default probability estimatio…An Overview of the Goodness-of-Fit Test Problem for Copulas (2013)An Overview of the Goodness-o…Distorted Copulas: Constructions and Tail Dependence (2010)Distorted Copulas: Constructi…New constructions of diagonal patchwork copulas (2009)New constructions of diagonal…Constructing copulas by means of pairs of order statistics (2009)Constructing copulas by means…Models for construction of multivariate dependence (2007)Models for construction of mu…Copulas with given values on a horizontal and a vertical section (2007)Copulas with given values on …Construction of non-exchangeable bivariate distribution functions (2007)Construction of non-exchangea…Fuzzy Preference Modelling and Multicriteria Decision Support (1994)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Pair-copula constructions of multiple dependence (2007)Nonparametric tests for constant tail dependence with an application to energy and finance (2015)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A multivariate approach for the simultaneous modelling of market risk and credit risk for cryptocurrencies (2019)How simplifying and flexible is the simplifying assumption in pair-copula constructions – analytic answers in dimension three and a glimpse beyond (2021)Copula Methods in Finance (2004)Measures of non-exchangeability for bivariate random vectors (2008)Analysis of directional dependence using asymmetric copula-based regression models (2013)Assessing and Modeling Asymmetry in Bivariate Continuous Data (2013)Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Aggregation Functions: A Guide for Practitioners (2007)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Management of Nonlinear Dependencies–Copulas in Dynamic Financial Analysis (2009)Nonparametric estimation of pair-copula constructions with the empirical pair-copula (2014)Random variables, joint distribution functions, and copulas (1973)Introductory Econometrics for Finance (2008)Extreme Correlation of International Equity Markets (2001)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)
this work references cited by second hop

References

  • 1999An Introduction to Copulas7,743 cited
  • 1990The Asymptotic Theory of Extreme Order Statistics1,830 cited

Cited by

  • 2007Construction of non-exchangeable bivariate distribution functions67 cited
  • 2010Distorted Copulas: Constructions and Tail Dependence57 cited
  • 2007Models for construction of multivariate dependence41 cited
  • 2015Default probability estimation via pair copula constructions37 cited
  • 2013An Overview of the Goodness-of-Fit Test Problem for Copulas36 cited
  • 2007Copulas with given values on a horizontal and a vertical section32 cited
  • 2009New constructions of diagonal patchwork copulas29 cited
  • 2009Constructing copulas by means of pairs of order statistics29 cited
  • 2021Modelling mortality dependence: An application of dynamic vine copula15 cited

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