Pages that link to "Item:Q3005366"
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The following pages link to CDO pricing with nested Archimedean copulas (Q3005366):
Displayed 35 items.
- Dependence modeling in non-life insurance using the Bernstein copula (Q414613) (← links)
- A review of copula models for economic time series (Q443763) (← links)
- Likelihood inference for Archimedean copulas in high dimensions under known margins (Q443788) (← links)
- Efficiently sampling nested Archimedean copulas (Q452526) (← links)
- Pricing distressed CDOs with stochastic recovery (Q541587) (← links)
- Multivariate hierarchical copulas with shocks (Q607608) (← links)
- Modeling defaults with nested Archimedean copulas (Q621757) (← links)
- Efficiently sampling exchangeable Cuadras-Augé copulas in high dimensions (Q730891) (← links)
- Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation (Q829744) (← links)
- Constructing hierarchical archimedean copulas with Lévy subordinators (Q968494) (← links)
- Dependent defaults and losses with factor copula models (Q1648673) (← links)
- Hierarchical Archimax copulas (Q1661344) (← links)
- Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications (Q1697215) (← links)
- Spatial tail dependence and survival stability in a class of Archimedean copulas (Q1751493) (← links)
- Default models based on scale mixtures of Marshall-Olkin copulas: properties and applications (Q1938497) (← links)
- Modeling the dependence of losses of a financial portfolio using nested Archimedean copulas (Q1980361) (← links)
- Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition (Q2001089) (← links)
- Right-truncated Archimedean and related copulas (Q2038223) (← links)
- Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case (Q2178938) (← links)
- The infinite extendibility problem for exchangeable real-valued random vectors (Q2208476) (← links)
- A note on the computation of sharp numerical bounds for the distribution of the sum, product or ratio of dependent risks (Q2252881) (← links)
- Efficient algorithms for basket default swap pricing with multivariate Archimedean copulas (Q2276220) (← links)
- Construction and sampling of Archimedean and nested Archimedean Lévy copulas (Q2350047) (← links)
- Estimating Archimedean Copulas in High Dimensions (Q2914946) (← links)
- Dependence structure of market states (Q3302373) (← links)
- COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE (Q4972128) (← links)
- On structure, family and parameter estimation of hierarchical Archimedean copulas (Q5107001) (← links)
- A Compendium of Copulas (Q5162881) (← links)
- Pairwise and Global Dependence in Trivariate Copula Models (Q5227381) (← links)
- STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY (Q5398345) (← links)
- Hierarchical Kendall copulas: Properties and inference (Q5413640) (← links)
- Comments on: Inference in multivariate Archimedean copula models (Q5970326) (← links)
- A generalization of Archimedean and Marshall-Olkin copulas family (Q6081874) (← links)
- Copula sensitivity analysis for portfolio credit derivatives (Q6167430) (← links)
- Penalized estimation of hierarchical Archimedean copula (Q6200950) (← links)