Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Tails of multivariate Archimedean copulas

16 references·16 citing·33 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

References

1999An Introduction to Copulas7,743 cited
2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
2004Copula Methods in Finance2,013 cited
2007Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask1,622 cited
1998Understanding Relationships Using Copulas1,258 cited
2003Modelling Dependence with Copulas and Applications to Risk Management1,056 cited
1999Dependence Measures for Extreme Value Analyses802 cited
1996Statistics for near independence in multivariate extreme values742 cited
2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions598 cited
2005Actuarial Theory for Dependent Risks: Measures, Orders and Models498 cited
1997Modelling Dependence within Joint Tail Regions424 cited
1986Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données412 cited
2008Sampling nested Archimedean copulas244 cited
2002Hidden Regular Variation, Second Order Regular Variation and Asymptotic Independence159 cited
2000Bivariate Distributions with Given Extreme Value Attractor159 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2004

Archimedean copulae and positive dependence

130 cited

Cited by

2011Asymptotics for risk capital allocations based on Conditional Tail Expectation109 cited
2011Second order regular variation and conditional tail expectation of multiple risks107 cited
2010Asymptotics of random contractions74 cited
2013Properties of hierarchical Archimedean copulas64 cited
2010Distorted Copulas: Constructions and Tail Dependence57 cited
2014Financial Engineering with Copulas Explained47 cited
2014Copulas, diagonals, and tail dependence45 cited
2016CoVaR of families of copulas42 cited
2011Extremal behavior of Archimedean copulas41 cited
2012Heavy‐tailed densities41 cited
2014Extreme value copula estimation based on block maxima of a multivariate stationary time series36 cited
2013Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation35 cited
2012A test for Archimedeanity in bivariate copula models28 cited
2010Tail Behaviour of Copulas28 cited
2017On Conditional Value at Risk (CoVaR) for tail-dependent copulas24 cited
2015On tail dependence coefficients of transformed multivariate Archimedean copulas21 cited