Editorial for the special issue on dependence models

DOI10.1016/J.JMVA.2019.03.009zbMATH Open1415.00021OpenAlexW2929535653MaRDI QIDQ2001080FDOQ2001080

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Publication date: 2 July 2019

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2019.03.009

Mathematics Subject Classification ID

Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Multivariate analysis (62Hxx) Proceedings of conferences of miscellaneous specific interest (00B25)

Cites Work

• Dependence in a background risk model
• Copula-based dynamic models for multivariate time series
• Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions
• Model assessment for time series dynamics using copula spectral densities: a graphical tool
• Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
• Reconstructing the topology of financial networks from degree distributions and reciprocity
• Geometry of discrete copulas
• Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
• Adjustable network reconstruction with applications to CDS exposures
• A framework for measuring association of random vectors via collapsed random variables
• Partially Schur-constant models
• Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition

Cited In (1)

• Editorial to the special issue on copulae of statistics \& risk modeling

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