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Nonparametric estimation of the tree structure of a nested Archimedean copula
16 references·0 citing·31 second hop
Nonparametric estimation of the tree structure of a nested Archimedean copula (2013)Nonparametric estimation of the tree stru…Hierarchical Archimedean Copulae: The HAC Package (2014)Hierarchical Archimedean Copu…Properties of hierarchical Archimedean copulas (2013)Properties of hierarchical Ar…Densities of nested Archimedean copulas (2013)Densities of nested Archimede…On the structure and estimation of hierarchical Archimedean copulas (2012)On the structure and estimati…Nested Archimedean Copulas MeetR: ThenacopulaPackage (2011)Nested Archimedean Copulas Me…Inference in multivariate Archimedean copula models (2011)Inference in multivariate Arc…A stochastic representation and sampling algorithm for nested Archimedean copulas (2011)A stochastic representation a…Sampling nested Archimedean copulas with applications to CDO pricing (2010)Sampling nested Archimedean c…Efficiently sampling nested Archimedean copulas (2010)Efficiently sampling nested A…Construction and Sampling of Nested Archimedean Copulas (2010)Construction and Sampling of …Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…Constructing hierarchical Archimedean copulas with Lévy subordinators (2009)Constructing hierarchical Arc…Sampling nested Archimedean copulas (2008)Sampling nested Archimedean c…Sampling Archimedean copulas (2008)Sampling Archimedean copulasStatistical Inference Procedures for Bivariate Archimedean Copulas (1993)Statistical Inference Procedu…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)An Introduction to Copulas (1999)Hierarchical structure in financial markets (1999)Hierarchies of Archimedean copulas (2009)Modelling dependence using skew t copulas: Bayesian inference and applications (2010)Should investors include green bonds in their portfolios? Evidence for the USA and Europe (2021)Understanding Relationships Using Copulas (1998)Extreme-Value Copulas (2010)Asymptotics of empirical copula processes under non-restrictive smoothness assumptions (2012)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management: Concepts, Techniques, and Tools (2006)CDO pricing with nested Archimedean copulas (2010)Multivariate Archimax copulas (2014)Modelling Dependence with Copulas and Applications to Risk Management (2003)Extreme Values, Regular Variation and Point Processes (1987)Copula Methods in Finance (2004)Archimedean Copulas in High Dimensions: Estimators and Numerical Challenges Motivated by Financial Applications (2012)Copulas and Copula Models (2014)Hierarchical Kendall copulas: Properties and inference (2014)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)An approach to structure determination and estimation of hierarchical Archimedean Copulas and its application to Bayesian classification (2015)On the use of Archimedean copulas for insurance modelling (2020)Copulae: An overview and recent developments (2021)Goodness-of-fit tests for copulas: A review and a power study (2007)copula: Multivariate Dependence with Copulas (2005)Likelihood inference for Archimedean copulas in high dimensions under known margins (2012)Power outages and firm performance in Sub-Saharan Africa (2018)Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions (2010)Construction of asymmetric multivariate copulas (2008)Models for construction of multivariate dependence – a comparison study (2008)
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References

  • 1993Statistical Inference Procedures for Bivariate Archimedean Copulas1,252 cited
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  • 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions510 cited
  • 2008Sampling nested Archimedean copulas244 cited
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  • 2012On the structure and estimation of hierarchical Archimedean copulas166 cited
  • 2011Nested Archimedean Copulas MeetR: ThenacopulaPackage153 cited
  • 2010Efficiently sampling nested Archimedean copulas114 cited
  • 2014Hierarchical Archimedean Copulae: The HAC Package82 cited
  • 2011Inference in multivariate Archimedean copula models72 cited
  • 2009Constructing hierarchical Archimedean copulas with Lévy subordinators67 cited
  • 2013Properties of hierarchical Archimedean copulas64 cited
  • 2010Sampling nested Archimedean copulas with applications to CDO pricing49 cited
  • 2011A stochastic representation and sampling algorithm for nested Archimedean copulas48 cited
  • 2013Densities of nested Archimedean copulas46 cited

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2010
Construction and Sampling of Nested Archimedean Copulas
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