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Constructing hierarchical Archimedean copulas with Lévy subordinators
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Constructing hierarchical Archimedean copulas with Lévy subordinators (2009)Constructing hierarchical Archimedean cop…Quantitative Risk Management (2012)Quantitative Risk ManagementQuantitative Risk Management (2011)Quantitative Risk ManagementCDO pricing with nested Archimedean copulas (2010)CDO pricing with nested Archi…The Grouped t-Copula with an Application to Credit Risk (2009)The Grouped t-Copula with an …Sampling nested Archimedean copulas (2008)Sampling nested Archimedean c…Sampling Archimedean copulas (2008)Sampling Archimedean copulasOrthant tail dependence of multivariate extreme value distributions (2008)Orthant tail dependence of mu…Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …Sampling from Archimedean copulas (2004)Sampling from Archimedean cop…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…An Introduction to Copulas (1999)An Introduction to CopulasOn simulation from infinitely divisible distributions (1982)On simulation from infinitely…Modeling cause-of-death mortality using hierarchical Archimedean copula (2018)Modeling cause-of-death morta…On structure, family and parameter estimation of hierarchical Archimedean copulas (2017)On structure, family and para…Modeling Multicountry Longevity Risk With Mortality Dependence: A Lévy Subordinated Hierarchical Archimedean Copulas Approach (2017)Modeling Multicountry Longevi…Copulae in High Dimensions: An Introduction (2017)Copulae in High Dimensions: A…A Compendium of Copulas (2017)A Compendium of CopulasFinancial Engineering with Copulas Explained (2014)Financial Engineering with Co…Clustering of time series via non-parametric tail dependence estimation (2014)Clustering of time series via…Regional Air Quality Conformity in Transportation Networks with Stochastic Dependencies: A Theoretical Copula-Based Model (2013)Regional Air Quality Conformi…Nonparametric estimation of the tree structure of a nested Archimedean copula (2013)Nonparametric estimation of t…CIID Frailty Models and Implied Copulas (2013)CIID Frailty Models and Impli…-extendible copulas (2012)-extendible copulasPricing distressed CDOs with stochastic recovery (2009)Pricing distressed CDOs with …Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Copula-based semiparametric models for multivariate time series (2012)Copulas in Econometrics (2014)Statistics and Quantitative Risk Management for Banking and Insurance (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)On the infinite divisibility of the lognormal distribution (1977)On the simulation of iterated Itô integrals (2001)Distributional properties of the negative binomial Lévy process (2009)Gamma expansion of the Heston stochastic volatility model (2009)On Default Correlation (2000)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Fully Nested 3-Copula: Procedure and Application on Hydrological Data (2007)An empirical analysis of multivariate copula models (2009)Modelling Dependence with Copulas and Applications to Risk Management (2003)Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Efficiently sampling nested Archimedean copulas (2010)Nested Archimedean Copulas MeetR: ThenacopulaPackage (2011)Copula Methods in Finance (2004)Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions (2010)On the structure and estimation of hierarchical Archimedean copulas (2012)Modelling Extremal Events (1997)Coherent Measures of Risk (1999)An Introduction to Statistical Modeling of Extreme Values (2001)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Dynamic Conditional Correlation: On Properties and Estimation (2013)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)Factor copula models for multivariate data (2013)COHERENCE AND ELICITABILITY (2014)Booms, busts and heavy-tails: The story of Bitcoin and cryptocurrency markets? (2018)
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References

  • 1999An Introduction to Copulas7,743 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 2011Quantitative Risk Management985 cited
  • 2012Quantitative Risk Management374 cited
  • 2008Sampling nested Archimedean copulas244 cited
  • 2008Sampling Archimedean copulas172 cited
  • 2004Sampling from Archimedean copulas163 cited
  • 1982On simulation from infinitely divisible distributions132 cited
  • 2010CDO pricing with nested Archimedean copulas110 cited
  • 2008Orthant tail dependence of multivariate extreme value distributions97 cited
  • 2009The Grouped t-Copula with an Application to Credit Risk78 cited

Cited by

  • 2014Financial Engineering with Copulas Explained47 cited
  • 2014Clustering of time series via non-parametric tail dependence estimation45 cited
  • 2017A Compendium of Copulas41 cited
  • 2013Nonparametric estimation of the tree structure of a nested Archimedean copula39 cited

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  • 2018Modeling cause-of-death mortality using hierarchical Archimedean copula30 cited
  • 2012-extendible copulas29 cited
  • 2017Modeling Multicountry Longevity Risk With Mortality Dependence: A Lévy Subordinated Hierarchical Archimedean Copulas Approach25 cited
  • 2017On structure, family and parameter estimation of hierarchical Archimedean copulas25 cited
  • 2017Copulae in High Dimensions: An Introduction22 cited
  • 2009Pricing distressed CDOs with stochastic recovery20 cited
  • 2013Regional Air Quality Conformity in Transportation Networks with Stochastic Dependencies: A Theoretical Copula-Based Model19 cited
  • 2013CIID Frailty Models and Implied Copulas19 cited