SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Construction and Sampling of Nested Archimedean Copulas
14 references·3 citing·33 second hop
Construction and Sampling of Nested Archimedean Copulas (2010)Construction and Sampling of Nested Archi…Properties of hierarchical Archimedean copulas (2013)Properties of hierarchical Ar…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…An empirical analysis of multivariate copula models (2009)An empirical analysis of mult…Sampling nested Archimedean copulas (2008)Sampling nested Archimedean c…Sampling Archimedean copulas (2008)Sampling Archimedean copulasPair-copula constructions of multiple dependence (2007)Pair-copula constructions of …Uncertainty Analysis with High Dimensional Dependence Modelling (2006)Uncertainty Analysis with Hig…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Sampling from Archimedean copulas (2004)Sampling from Archimedean cop…An Introduction to Copulas (1999)An Introduction to CopulasCopules archimédiennes et families de lois bidimensionnelles dont les marges sont données (1986)Copules archimédiennes et fam…Random variables, joint distribution functions, and copulas (1973)Random variables, joint distr…An approach to structure determination and estimation of hierarchical Archimedean Copulas and its application to Bayesian classification (2015)An approach to structure dete…Nonparametric estimation of the tree structure of a nested Archimedean copula (2013)Nonparametric estimation of t…Invariant dependence structures and Archimedean copulas (2011)Invariant dependence structur…Coherent Measures of Risk (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A review of copula models for economic time series (2012)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)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)Modelling Dependence with Copulas and Applications to Risk Management (2003)Efficiently sampling nested Archimedean copulas (2010)Nested Archimedean Copulas MeetR: ThenacopulaPackage (2011)Ordinal Measures of Association (1958)The Performance of Some Correlation Coefficients for a General Bivariate Distribution (1960)On Nonparametric Measures of Dependence for Random Variables (1981)Weak convergence of empirical copula processes (2004)Estimating the tail-dependence coefficient: Properties and pitfalls (2005)Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation (2006)Copula Methods in Finance (2004)Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions (2010)On the structure and estimation of hierarchical Archimedean copulas (2012)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)Copulas and Markov processes (1992)Measures of risk (2002)Construction of asymmetric multivariate copulas (2008)Models for construction of multivariate dependence – a comparison study (2008)Generating random correlation matrices based on vines and extended onion method (2009)
this work references cited by second hop

References

  • 1999An Introduction to Copulas7,743 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 1973Random variables, joint distribution functions, and copulas680 cited
  • 2006Uncertainty Analysis with High Dimensional Dependence Modelling665 cited
  • 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions598 cited
  • 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions510 cited
  • 1986Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données412 cited
  • 2008Sampling nested Archimedean copulas244 cited
  • 2008Sampling Archimedean copulas172 cited
  • 2004Sampling from Archimedean copulas163 cited
  • 2009An empirical analysis of multivariate copula models156 cited
  • 2010CDO pricing with nested Archimedean copulas110 cited
  • 2013Properties of hierarchical Archimedean copulas64 cited

Cited by

  • 2015An approach to structure determination and estimation of hierarchical Archimedean Copulas and its application to Bayesian classification

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

40 cited
  • 2013Nonparametric estimation of the tree structure of a nested Archimedean copula39 cited
  • 2011Invariant dependence structures and Archimedean copulas25 cited