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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+Ostap Okhrin
@@ Property / author: Ostap Okhrin / rank @@
+Normal rank
@@ Property / author @@
+Yarema Okhrin
@@ Property / author: Yarema Okhrin / rank @@
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+Wolfgang Schmid
@@ Property / author: Wolfgang Schmid / rank @@
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+H05
@@ Property / Mathematics Subject Classification ID: 62H05 / rank @@
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+H12
@@ Property / Mathematics Subject Classification ID: 62H12 / rank @@
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+P20
@@ Property / Mathematics Subject Classification ID: 62P20 / rank @@
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@@ Property / zbMATH DE Number @@
+6714830
@@ Property / zbMATH DE Number: 6714830 / rank @@
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@@ Property / zbMATH Keywords @@
+hierarchical Archimedean copula
@@ Property / zbMATH Keywords: hierarchical Archimedean copula / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+multivariate distribution
@@ Property / zbMATH Keywords: multivariate distribution / rank @@
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+density estimation
@@ Property / zbMATH Keywords: density estimation / rank @@
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+asymptotic theory
@@ Property / zbMATH Keywords: asymptotic theory / rank @@
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+MaRDI publication profile
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@@ Property / OpenAlex ID @@
+W1978267962
@@ Property / OpenAlex ID: W1978267962 / rank @@
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@@ Property / cites work @@
+Pair-copula constructions of multiple dependence
@@ Property / cites work: Pair-copula constructions of multiple dependence / rank @@
+Normal rank
@@ Property / cites work @@
+Beyond simplified pair-copula constructions
@@ Property / cites work: Beyond simplified pair-copula constructions / rank @@
+Normal rank
@@ Property / cites work @@
+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
@@ Property / cites work: Q5543905 / rank @@
+Normal rank
@@ Property / cites work @@
+A stochastic representation and sampling algorithm for nested Archimedean copulas
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+Efficiently sampling nested Archimedean copulas
@@ Property / cites work: Efficiently sampling nested Archimedean copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Densities of nested Archimedean copulas
@@ Property / cites work: Densities of nested Archimedean copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic efficiency of the two-stage estimation method for copula-based models
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+Q4382161
@@ Property / cites work: Q4382161 / rank @@
+Normal rank
@@ Property / cites work @@
+Measurement of aggregate risk with copulas
@@ Property / cites work: Measurement of aggregate risk with copulas / rank @@
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+Copula-based multivariate GARCH model with uncorrelated dependent errors
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+Sampling nested Archimedean copulas
@@ Property / cites work: Sampling nested Archimedean copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
+Normal rank
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+An introduction to copulas.
@@ Property / cites work: An introduction to copulas. / rank @@
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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
+Normal rank
@@ Property / cites work @@
+Hierarchies of Archimedean copulas
@@ Property / cites work: Hierarchies of Archimedean copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Q3336431
@@ Property / cites work: Q3336431 / rank @@
+Normal rank
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+Q3281461
@@ Property / cites work: Q3281461 / rank @@
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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
@@ Property / cites work: Cluster analysis for portfolio optimization / rank @@
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+Model Selection and Semiparametric Inference for Bivariate Failure-Time Data
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+Sampling from Archimedean copulas
@@ Property / cites work: Sampling from Archimedean copulas / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:528182