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STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY
16 references·1 citing·26 second hop
STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY (2013)STATISTICAL INFERENCE FOR COPULAS IN HIGH…Likelihood inference for Archimedean copulas in high dimensions under known margins (2012)Likelihood inference for Arch…Copula based hierarchical risk aggregation through sample reordering (2012)Copula based hierarchical ris…Modeling Multivariate Distributions with Continuous Margins Using the copula R Package (2010)Modeling Multivariate Distrib…Copula Theory and Its Applications (2010)Copula Theory and Its Applica…Comparison of three semiparametric methods for estimating dependence parameters in copula models (2010)Comparison of three semiparam…CDO pricing with nested Archimedean copulas (2010)CDO pricing with nested Archi…Hierarchies of Archimedean copulas (2009)Hierarchies of Archimedean co…Copula goodness-of-fit testing: an overview and power comparison (2009)Copula goodness-of-fit testin…Goodness-of-fit tests for copulas: A review and a power study (2007)Goodness-of-fit tests for cop…Comparison of semiparametric and parametric methods for estimating copulas (2006)Comparison of semiparametric …A goodness of fit test for copulas based on Rosenblatt's transformation (2006)A goodness of fit test for co…Semiparametric estimation in copula models (2005)Semiparametric estimation in …Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Conditions for the Asymptotic Semiparametric Efficiency of an Omnibus Estimator of Dependence Parameters in Copula Models (2002)Conditions for the Asymptotic…A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions (1995)A Semiparametric Estimation P…Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Statistical Inference Procedu…Estimating Differential Entropy using Recursive Copula Splitting (2020)Estimating Differential Entro…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Quantitative Risk Management (2011)Multivariate Archimax copulas (2014)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Multivariate multiparameter extreme value models and return periods: A copula approach (2010)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)Life Table Methods for Heterogeneous Populations: Distributions Describing the Heterogeneity (1984)The Joy of Copulas: Bivariate Distributions with Uniform Marginals (1986)Bivariate Extreme Value Theory: Models and Estimation (1988)Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données (1986)Copula Methods in Finance (2004)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)A review of copula models for economic time series (2012)Probit transformation for nonparametric kernel estimation of the copula density (2017)Pair-copula constructions of multiple dependence (2007)Selecting and estimating regular vine copulae and application to financial returns (2012)Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 (2013)Modeling Customer Opt-In and Opt-Out in a Permission-Based Marketing Context (2014)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Insurance: Mathematics and Economics (2004)Copula Methods for Forecasting Multivariate Time Series (2013)Understanding Relationships Using Copulas (1998)A review of quantification methodologies for multi-hazard interrelationships (2019)
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References

  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,208 cited
  • 2007Goodness-of-fit tests for copulas: A review and a power study1,354 cited
  • 1993Statistical Inference Procedures for Bivariate Archimedean Copulas1,252 cited
  • 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions1,227 cited
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  • 2006Comparison of semiparametric and parametric methods for estimating copulas340 cited
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  • 2009Copula goodness-of-fit testing: an overview and power comparison270 cited
  • 2009Hierarchies of Archimedean copulas165 cited
  • 2012Likelihood inference for Archimedean copulas in high dimensions under known margins143 cited
  • 2006A goodness of fit test for copulas based on Rosenblatt's transformation131 cited
  • 2010CDO pricing with nested Archimedean copulas110 cited
  • 2010Comparison of three semiparametric methods for estimating dependence parameters in copula models101 cited
  • 2002Conditions for the Asymptotic Semiparametric Efficiency of an Omnibus Estimator of Dependence Parameters in Copula Models

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58 cited
  • 2012Copula based hierarchical risk aggregation through sample reordering55 cited
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    • 2020Estimating Differential Entropy using Recursive Copula Splitting17 cited