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Construction and Sampling of Nested Archimedean Copulas · Study

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ChapterConstruction and Sampling of Nested Archimedean Copulas

Marius Hofert2010

Chapter2010

Construction and Sampling of Nested Archimedean Copulas

43 citations·0/0 files stored·Lecture notes in statistics

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Financial Risk and Volatility Modeling Statistical Distribution Estimation and Applications Probability and Risk Models

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References

1999An Introduction to Copulas 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2007Pair-copula constructions of multiple dependence 1973Random variables, joint distribution functions, and copulas 2006Uncertainty Analysis with High Dimensional Dependence Modelling 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions 1986Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données

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2015An approach to structure determination and estimation of hierarchical Archimedean Copulas and its application to Bayesian classification 2013Nonparametric estimation of the tree structure of a nested Archimedean copula 2011Invariant dependence structures and Archimedean copulas

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2010CDO pricing with nested Archimedean copulasarticle · 8 shared references 2017A Compendium of Copulasarticle · 8 shared references 2007Models for construction of multivariate dependencereport · 8 shared references 2016Extreme risk modeling: An EVT–pair-copulas approach for financial stress testsarticle · 7 shared references 2010Copula Theory: An Introductionchapter · 6 shared references 2010Efficiently sampling nested Archimedean copulasarticle · 6 shared references

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Year2010

Typechapter

Published2010-01-01

VenueLecture notes in statistics

ISSN-L0930-0325

Languageen

Citations43

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/978-3-642-12465-5_7

openalex_workW81367457

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