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ArticleFrom Archimedean to Liouville copulas

Alexander J. McNeil2010

OA

Articlebronze2010

From Archimedean to Liouville copulas

Alexander J. McNeil · Johanna Nešlehová

83 citations·0/0 files stored·Journal of Multivariate Analysis

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Financial Risk and Volatility Modeling Statistical Distribution Estimation and Applications Probability and Risk Models

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References

2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006Quantitative Risk Management: Concepts, Techniques, and Tools 2004Statistics of Extremes: Theory and Applications 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions 2005Statistics of Extremes: Theory and Applications 2008Sampling nested Archimedean copulas 1990Multivariate concordance

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2011Inference in multivariate Archimedean copula models 2014Multivariate Archimax copulas 2013Assessing and Modeling Asymmetry in Bivariate Continuous Data 2011Extremal behavior of Archimedean copulas 2015A copula‐based risk aggregation model 2014Copulas and Copula Models 2012

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Year2010

Typearticle

Published2010-04-03

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations83

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jmva.2010.03.015

openalex_workW1979307052

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