Comments on: Inference in multivariate Archimedean copula models
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Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)
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- Comments on: Inference in multivariate Archimedean copula models
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- Comments on: Inference in multivariate Archimedean copula models
- Comments on: Inference in multivariate Archimedean copula models
- Comments on: Inference in multivariate Archimedean copula models
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Cites work
- CDO pricing with nested Archimedean copulas
- Construction of asymmetric multivariate copulas
- Efficiently sampling nested Archimedean copulas
- Erratum to ``Construction of asymmetric multivariate copulas
- Families of Multivariate Distributions
- From Archimedean to Liouville copulas
- Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
- Goodness-of-fit tests for copulas: A review and a power study
- Goodness-of-fit tests for parametric families of Archimedean copulas
- scientific article; zbMATH DE number 3174816 (Why is no real title available?)
- scientific article; zbMATH DE number 1894337 (Why is no real title available?)
- Inference in multivariate Archimedean copula models
- Modeling defaults with nested Archimedean copulas
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Multivariate hierarchical copulas with shocks
- Remarks on a Multivariate Transformation
- Sampling Archimedean copulas
- Sampling nested Archimedean copulas
- Simulating from Exchangeable Archimedean Copulas
- The frailty model.
Cited in
(8)- On tail dependence coefficients of transformed multivariate Archimedean copulas
- Inference in multivariate Archimedean copula models
- Measuring the subprime crisis contagion: evidence of change point analysis of copula functions
- Likelihood inference for Archimedean copulas in high dimensions under known margins
- On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
- Comments on: Inference in multivariate Archimedean copula models
- Comments on: Inference in multivariate Archimedean copula models
- Inference on Archimedean copulas using mixtures of Pólya trees
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