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ArticleConstructing hierarchical Archimedean copulas with Lévy subordinators

Christian Hering2009

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Articlebronze2009

Constructing hierarchical Archimedean copulas with Lévy subordinators

Christian Hering · Marius Hofert · Jan-Frederik Mai · Matthias A. Scherer

67 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 2003Financial Modelling with Jump Processes 2007Pair-copula constructions of multiple dependence 2011Quantitative Risk Management 2012Quantitative Risk Management 2008Sampling nested Archimedean copulas 2008Sampling Archimedean copulas 2004Sampling from Archimedean copulas

Cited by

2014Financial Engineering with Copulas Explained 2014Clustering of time series via non-parametric tail dependence estimation 2017A Compendium of Copulas 2013Nonparametric estimation of the tree structure of a nested Archimedean copula 2018Modeling cause-of-death mortality using hierarchical Archimedean copula 2012-extendible copulas 2017Modeling Multicountry Longevity Risk With Mortality Dependence: A Lévy Subordinated Hierarchical Archimedean Copulas Approach

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Year2009

Typearticle

Published2009-10-17

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations67

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jmva.2009.10.005

openalex_workW2091639734

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