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ArticleConstruction of asymmetric multivariate copulas

Eckhard Liebscher2008

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Articlebronze2008

Construction of asymmetric multivariate copulas

Eckhard Liebscher

241 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

1999An Introduction to Copulas 1998Understanding Relationships Using Copulas 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions 2004Asymptotic efficiency of the two-stage estimation method for copula-based models 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions 2006Efficient Estimation of Semiparametric Multivariate Copula Models

Cited by

2010Copula Theory: An Introduction 2012Likelihood inference for Archimedean copulas in high dimensions under known margins 2011Tests of symmetry for bivariate copulas 2018Modeling multivariate ocean data using asymmetric copulas 2009On the construction of multivariate extreme value models via copulas 2011A goodness-of-fit test for bivariate extreme-value copulas 2014Detecting changes in cross-sectional dependence in multivariate time series 2020Copula-Based Quantification of Probabilistic Dependence Configurations of Material Parameters in Damage Constitutive Modeling of Concrete

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Details

Year2008

Typearticle

Published2008-02-20

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations241

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jmva.2008.02.025

openalex_workW2076562295

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