Archimedean copulas with applications to VaR estimation
DOI10.1007/S10260-015-0326-7zbMATH Open1373.60029DBLPjournals/sma/Furmanczyk16OpenAlexW815534663WikidataQ59472300 ScholiaQ59472300MaRDI QIDQ2013643FDOQ2013643
Publication date: 8 August 2017
Published in: Statistical Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10260-015-0326-7
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Probability distributions: general theory (60E05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Order statistics; empirical distribution functions (62G30)
Cites Work
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Cited In (16)
- Title not available (Why is that?)
- Estimation of hierarchical Archimedean copulas as a shortest path problem
- Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
- The dispersive effect of cross-aging with archimedean copulas
- Multivariate Archimax copulas
- A note on allocation of portfolio shares of random assets with Archimedean copula
- Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
- Title not available (Why is that?)
- Title not available (Why is that?)
- On tail dependence coefficients of transformed multivariate Archimedean copulas
- How to improve the fit of Archimedean copulas by means of transforms
- Extreme Value Theory and Archimedean Copulas
- Modeling the dependence of losses of a financial portfolio using nested Archimedean copulas
- On the structure and estimation of hierarchical Archimedean copulas
- Estimating Archimedean copulas in high dimensions
- Tails of multivariate Archimedean copulas
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