SZodixStudyAcademic Library
DashboardShelvesOpen accessMy libraryInboxNotesWriteLearnAlerts
More
Ask your libraryNotificationsQuick citeReview
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions
6 references·16 citing·29 second hop
Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copulas, d-monot…Copula Methods in Finance (2004)Copula Methods in FinanceAn Introduction to Copulas (1999)An Introduction to CopulasUnderstanding Relationships Using Copulas (1998)Understanding Relationships U…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…The Joy of Copulas: Bivariate Distributions with Uniform Marginals (1986)The Joy of Copulas: Bivariate…A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)A multivariate copula‐based f…Simplified pair copula constructions—Limitations and extensions (2013)Simplified pair copula constr…On the structure and estimation of hierarchical Archimedean copulas (2012)On the structure and estimati…Likelihood inference for Archimedean copulas in high dimensions under known margins (2012)Likelihood inference for Arch…Asymptotics of empirical copula processes under non-restrictive smoothness assumptions (2012)Asymptotics of empirical copu…Tail order and intermediate tail dependence of multivariate copulas (2011)Tail order and intermediate t…Nested Archimedean Copulas MeetR: ThenacopulaPackage (2011)Nested Archimedean Copulas Me…Vine copulas with asymmetric tail dependence and applications to financial return data (2010)Vine copulas with asymmetric …Extreme-Value Copulas (2010)Extreme-Value CopulasCopula Theory: An Introduction (2010)Copula Theory: An IntroductionHierarchies of Archimedean copulas (2009)Hierarchies of Archimedean co…Copulas: A Personal View (2009)Copulas: A Personal ViewSampling Archimedean copulas (2008)Sampling Archimedean copulasMultivariate extremes and the aggregation of dependent risks: examples and counter-examples (2008)Multivariate extremes and the…Models for construction of multivariate dependence – a comparison study (2008)Models for construction of mu…Construction of asymmetric multivariate copulas (2008)Construction of asymmetric mu…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Generalized autoregressive conditional heteroskedasticity (1986)On the simplified pair-copula construction — Simply useful or too simplistic? (2009)Pair-Copula Constructions of Multivariate Copulas (2010)Truncated regular vines in high dimensions with application to financial data (2012)Weak convergence of empirical copula processes (2004)Semiparametric estimation in copula models (2005)Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Empirical and sequential empirical copula processes under serial dependence (2013)Probit transformation for nonparametric kernel estimation of the copula density (2017)Regression Towards Mediocrity in Hereditary Stature. (1886)A distribution-free approach to inducing rank correlation among input variables (1982)The Asymptotic Theory of Extreme Order Statistics (1990)On Default Correlation (2000)Copula Modeling: An Introduction for Practitioners (2007)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)Goodness-of-fit tests for copulas: A review and a power study (2007)Dependence Modeling with Copulas (2014)A Compendium of Copulas (2017)Switching generalized autoregressive score copula models with application to systemic risk (2018)Recent development in copula and its applications to the energy, forestry and environmental sciences (2019)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Modelling Dependence with Copulas and Applications to Risk Management (2003)The t Copula and Related Copulas (2007)Copulas for Finance - A Reading Guide and Some Applications (2007)Enjoy the Joy of Copulas: With a Packagecopula (2007)Tests of symmetry for bivariate copulas (2011)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1999An Introduction to Copulas7,743 cited
  • 2004Copula Methods in Finance2,013 cited
  • 1998Understanding Relationships Using Copulas1,258 cited
  • 1993Statistical Inference Procedures for Bivariate Archimedean Copulas1,252 cited
  • 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions1,227 cited
  • 1986The Joy of Copulas: Bivariate Distributions with Uniform Marginals790 cited

Cited by

  • 2008Models for construction of multivariate dependence – a comparison study291 cited
  • 2016A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities276 cited
  • 2008Construction of asymmetric multivariate copulas241 cited
  • 2012Asymptotics of empirical copula processes under non-restrictive smoothness assumptions235 cited
  • 2010Extreme-Value Copulas229 cited
  • 2010Copula Theory: An Introduction226 cited
  • 2010Vine copulas with asymmetric tail dependence and applications to financial return data214 cited
  • 2009Copulas: A Personal View204 cited
  • 2008Sampling Archimedean copulas172 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2012
On the structure and estimation of hierarchical Archimedean copulas
166 cited
  • 2009Hierarchies of Archimedean copulas165 cited
  • 2011Nested Archimedean Copulas MeetR: ThenacopulaPackage153 cited
  • 2013Simplified pair copula constructions—Limitations and extensions151 cited
  • 2012Likelihood inference for Archimedean copulas in high dimensions under known margins143 cited
  • 2011Tail order and intermediate tail dependence of multivariate copulas139 cited
  • 2008Multivariate extremes and the aggregation of dependent risks: examples and counter-examples137 cited