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Archimedean copulae and positive dependence · Study

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ArticleArchimedean copulae and positive dependence

Alfred Müller2004

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Articlebronze2004

Archimedean copulae and positive dependence

Alfred Müller · Marco Scarsini

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

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Financial Risk and Volatility Modeling Probability and Statistical Research Bayesian Modeling and Causal Inference

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References

1999An Introduction to Copulas 1998Understanding Relationships Using Copulas 1993Statistical Inference Procedures for Bivariate Archimedean Copulas 2006An Introduction to Copulas (Springer Series in Statistics)1986Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données 2003Expected utility theory without the completeness axiom 2003Using copulae to bound the Value-at-Risk for functions of dependent risks 2002Optimal investment strategies and risk measures in defined contribution pension schemes

Cited by

2009Tails of multivariate Archimedean copulas 2009A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework 2011Inference in multivariate Archimedean copula models 2011Semiparametric estimation in models of first-price, sealed-bid auctions with affiliation 2006Lower tail dependence for Archimedean copulas: Characterizations and pitfalls 2015Notions of multivariate dependence and their applications in optimal portfolio selections with dependent risks

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Year2004

Typearticle

Published2004-05-29

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations130

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jmva.2004.04.003

openalex_workW1980339238

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2015Affiliation and Entry in First-Price Auctions with Heterogeneous Bidders: An Analysis of Merger Effects

2006A multivariate jump-driven financial asset model