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Dependence Properties of Meta-Elliptical Distributions
12 references·14 citing·36 second hop
Dependence Properties of Meta-Elliptical Distributions (2005)Dependence Properties of Meta-Elliptical …On blest's measure of rank correlation (2003)On blest's measure of rank co…Kendall’s Tau for Elliptical Distributions (2003)Kendall’s Tau for Elliptical …Elliptical copulas: applicability and limitations (2003)Elliptical copulas: applicabi…Tail dependence for elliptically contoured distributions (2002)Tail dependence for elliptica…Multivariate extremes, aggregation and dependence in elliptical distributions (2002)Multivariate extremes, aggreg…Stochastic Comparison of Random Vectors with a Common Copula (2001)Stochastic Comparison of Rand…Correlation and Dependence (2001)Correlation and DependenceCorrelation and Dependence (2001)Correlation and DependenceTheory & Methods: Rank Correlation — an Alternative Measure (2000)Theory & Methods: Rank Correl…An Introduction to Copulas (1999)An Introduction to CopulasStop-loss order for portfolios of dependent risks (1997)Stop-loss order for portfolio…Ordinal Measures of Association (1958)Ordinal Measures of Associati…Implicit Copulas: An Overview (2021)Implicit Copulas: An OverviewCopulas and Copula Models (2014)Copulas and Copula ModelsPredicting dependent binary outcomes through logistic regressions and meta-elliptical copulas (2013)Predicting dependent binary o…Copula-Based Models for Multivariate Discrete Response Data (2013)Copula-Based Models for Multi…On the Ghoudi, Khoudraji, and Rivest test for extreme‐value dependence (2009)On the Ghoudi, Khoudraji, and…Finite normal mixture copulas for multivariate discrete data modeling (2009)Finite normal mixture copulas…Multivariate logit copula model with an application to dental data (2008)Multivariate logit copula mod…Risk measurement in the presence of background risk (2007)Risk measurement in the prese…Fitting copulas to bivariate earthquake data: the seismic gap hypothesis revisited (2007)Fitting copulas to bivariate …Copula model evaluation based on parametric bootstrap (2007)Copula model evaluation based…On the extremal dependence coefficient of multivariate distributions (2006)On the extremal dependence co…Omnibus Goodness-of-Fit Tests for Copulas: A Review and a Power Study (2006)Omnibus Goodness-of-Fit Tests…Local efficiency of a Cramér–von Mises test of independence (2005)Local efficiency of a Cramér–…Extreme behaviour for bivariate elliptical distributions (2005)Extreme behaviour for bivaria…The Proof and Measurement of Association between Two Things (1904)A NEW MEASURE OF RANK CORRELATION (1938)Rank Correlation Methods. (1957)Modelling Dependence with Copulas and Applications to Risk Management (2003)Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask (2007)The t Copula and Related Copulas (2007)A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices (1974)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)A goodness of fit test for copulas based on Rosenblatt's transformation (2006)On the construction of copulas and quasi-copulas with given diagonal sections (2007)Modeling spot price dependence in Australian electricity markets with applications to risk management (2015)Extreme Values, Regular Variation and Point Processes (1987)Multivariate conditional versions of Spearman's rho and related measures of tail dependence (2006)Orthant tail dependence of multivariate extreme value distributions (2008)Dependency of Risks and Stop-Loss Order (1996)Stochastic bounds on sums of dependent risks (1999)Risk aggregation with dependence uncertainty (2013)Beyond Correlation: Extreme Co-Movements between Financial Assets (2002)Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50 (2013)Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness (2020)Increasing Risk: Some Direct Constructions (1997)Measures of risk (2004)Construction of non-exchangeable bivariate distribution functions (2007)TVaR-based capital allocation with copulas (2009)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Tail Variance Premium with Applications for Elliptical Portfolio of Risks (2006)Searching for innovation: Product, process, and business model innovations and search behavior in established firms (2018)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)Test of independence and randomness based on the empirical copula process (2004)Semiparametric estimation in copula models (2005)On the relationship between Spearman's rho and Kendall's tau for pairs of continuous random variables (2006)Tail Conditional Expectations for Elliptical Distributions (2003)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)
this work references cited by second hop

References

  • 1999An Introduction to Copulas7,743 cited
  • 1958Ordinal Measures of Association740 cited
  • 2001Correlation and Dependence456 cited
  • 2001Correlation and Dependence322 cited
  • 2002Multivariate extremes, aggregation and dependence in elliptical distributions251 cited
  • 2003Kendall’s Tau for Elliptical Distributions175 cited
  • 2002Tail dependence for elliptically contoured distributions156 cited
  • 2003Elliptical copulas: applicability and limitations155 cited
  • 1997Stop-loss order for portfolios of dependent risks154 cited
  • 2001Stochastic Comparison of Random Vectors with a Common Copula126 cited
  • 2000Theory & Methods: Rank Correlation — an Alternative Measure84 cited
  • 2003On blest's measure of rank correlation81 cited

Cited by

  • 2013Copula-Based Models for Multivariate Discrete Response Data68 cited
  • 2008Multivariate logit copula model with an application to dental data67 cited
  • 2009On the Ghoudi, Khoudraji, and Rivest test for extreme‐value dependence53 cited
  • 2005Extreme behaviour for bivariate elliptical distributions

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53 cited
  • 2006On the extremal dependence coefficient of multivariate distributions50 cited
  • 2007Copula model evaluation based on parametric bootstrap48 cited
  • 2005Local efficiency of a Cramér–von Mises test of independence45 cited
  • 2009Finite normal mixture copulas for multivariate discrete data modeling44 cited
  • 2007Fitting copulas to bivariate earthquake data: the seismic gap hypothesis revisited38 cited
  • 2007Risk measurement in the presence of background risk38 cited
  • 2013Predicting dependent binary outcomes through logistic regressions and meta-elliptical copulas34 cited
  • 2006Omnibus Goodness-of-Fit Tests for Copulas: A Review and a Power Study33 cited
  • 2014Copulas and Copula Models33 cited
  • 2021Implicit Copulas: An Overview27 cited