On the structure and estimation of hierarchical Archimedean copulas (Q528182): Difference between revisions

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-Ostap Okhrin
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-Yarema Okhrin
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-Wolfgang Schmid
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+MaRDI publication profile
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+W1978267962
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@@ Property / cites work @@
+Pair-copula constructions of multiple dependence
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+Normal rank
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+Beyond simplified pair-copula constructions
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+Vines -- a new graphical model for dependent random variables.
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+A Class of Nonparametric Tests for Independence in Bivariate Populations
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+Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
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+Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
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+Efficient Estimation of Semiparametric Multivariate Copula Models
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+Nonparametric estimation of copula functions for dependence modelling
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+Selecting and estimating regular vine copulae and application to financial returns
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+Goodness-of-fit tests for copulas
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+A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
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+Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
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+Statistical Inference Procedures for Bivariate Archimedean Copulas
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+Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
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+The Use of Archimedean Copulas to Model Portfolio Allocations
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+Q5543905
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+A stochastic representation and sampling algorithm for nested Archimedean copulas
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+Efficiently sampling nested Archimedean copulas
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+Densities of nested Archimedean copulas
@@ Property / cites work: Densities of nested Archimedean copulas / rank @@
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+Asymptotic efficiency of the two-stage estimation method for copula-based models
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+Q4382161
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+Measurement of aggregate risk with copulas
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+Copula-based multivariate GARCH model with uncorrelated dependent errors
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+Sampling nested Archimedean copulas
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+Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
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+An introduction to copulas.
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+Conditional Heteroskedasticity in Asset Returns: A New Approach
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+Properties of hierarchical Archimedean copulas
@@ Property / cites work: Properties of hierarchical Archimedean copulas / rank @@
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+Efficient Bayesian inference for Gaussian copula regression models
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+Asymptotic Normality of Nonparametric Tests for Independence
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+Goodness-of-fit tests for parametric families of Archimedean copulas
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+Hierarchies of Archimedean copulas
@@ Property / cites work: Hierarchies of Archimedean copulas / rank @@
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+Q3336431
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+Q3281461
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+Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence
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+Maximization by Parts in Likelihood Inference
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+Cluster analysis for portfolio optimization
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+Model Selection and Semiparametric Inference for Bivariate Failure-Time Data
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+Sampling from Archimedean copulas
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+Publication:528182