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Sampling nested Archimedean copulas with applications to CDO pricing
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Sampling nested Archimedean copulas with applications to CDO pricing (2010)Sampling nested Archimedean copulas with …On structure, family and parameter estimation of hierarchical Archimedean copulas (2017)On structure, family and para…Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models (2015)Sequential Monte Carlo Sample…Nonparametric estimation of the tree structure of a nested Archimedean copula (2013)Nonparametric estimation of t…Densities of nested Archimedean copulas (2013)Densities of nested Archimede…A stochastic representation and sampling algorithm for nested Archimedean copulas (2011)A stochastic representation a…An Introduction to Copulas (1999)Modelling Dependence with Copulas and Applications to Risk Management (2003)Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Statistics and Quantitative Risk Management for Banking and Insurance (2014)An approach to structure determination and estimation of hierarchical Archimedean Copulas and its application to Bayesian classification (2015)Coherent Measures of Risk (1999)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management: Concepts, Techniques, and Tools (2006)A Unified Approach to Mortality Modelling Using State-Space Framework: Characterisation, Identification, Estimation and Forecasting (2016)Goodness-of-fit tests for copulas: A review and a power study (2007)Sampling nested Archimedean copulas (2008)Nested Archimedean Copulas MeetR: ThenacopulaPackage (2011)Archimedean Copulas in High Dimensions: Estimators and Numerical Challenges Motivated by Financial Applications (2012)Modeling asymmetrically dependent multivariate ocean data using truncated copulas (2021)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Copulae in High Dimensions: An Introduction (2017)
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  • 2011A stochastic representation and sampling algorithm for nested Archimedean copulas48 cited
  • 2013Densities of nested Archimedean copulas46 cited
  • 2013Nonparametric estimation of the tree structure of a nested Archimedean copula39 cited
  • 2015Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models32 cited
  • 2017On structure, family and parameter estimation of hierarchical Archimedean copulas25 cited

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