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On structure, family and parameter estimation of hierarchical Archimedean copulas
16 references·0 citing·27 second hop
On structure, family and parameter estimation of hierarchical Archimedean copulas (2017)On structure, family and parameter estima…An approach to structure determination and estimation of hierarchical Archimedean Copulas and its application to Bayesian classification (2015)An approach to structure dete…Hierarchical Archimedean Copulae: The HAC Package (2014)Hierarchical Archimedean Copu…Nonparametric estimation of the tree structure of a nested Archimedean copula (2013)Nonparametric estimation of t…On the structure and estimation of hierarchical Archimedean copulas (2012)On the structure and estimati…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…Modeling Multivariate Distributions with Continuous Margins Using the copula R Package (2010)Modeling Multivariate Distrib…Efficiently sampling nested Archimedean copulas (2010)Efficiently sampling nested A…CDO pricing with nested Archimedean copulas (2010)CDO pricing with nested Archi…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 copulasGoodness-of-fit tests for copulas: A review and a power study (2007)Goodness-of-fit tests for cop…Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Statistical Inference Procedu…An Introduction to Copulas (1999)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)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)Power outages and firm performance in Sub-Saharan Africa (2018)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)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)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)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)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Understanding Relationships Using Copulas (1998)Extreme-Value Copulas (2010)Asymptotics of empirical copula processes under non-restrictive smoothness assumptions (2012)Modelling Dependence with Copulas and Applications to Risk Management (2003)Nested Archimedean Copulas MeetR: ThenacopulaPackage (2011)Multivariate Archimax copulas (2014)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

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  • 1993Statistical Inference Procedures for Bivariate Archimedean Copulas1,252 cited
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  • 2008Sampling nested Archimedean copulas244 cited
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  • 2012On the structure and estimation of hierarchical Archimedean copulas166 cited
  • 2010Efficiently sampling nested Archimedean copulas114 cited
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  • 2014Hierarchical Archimedean Copulae: The HAC Package82 cited
  • 2009Constructing hierarchical Archimedean copulas with Lévy subordinators67 cited
  • 2010Sampling nested Archimedean copulas with applications to CDO pricing49 cited
  • 2011A stochastic representation and sampling algorithm for nested Archimedean copulas48 cited
  • 2015An approach to structure determination and estimation of hierarchical Archimedean Copulas and its application to Bayesian classification

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  • 2013Nonparametric estimation of the tree structure of a nested Archimedean copula39 cited
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