A mixture of Clayton, Gumbel, and Frank copulas: a complete dependence model

DOI10.1155/2022/1422394OpenAlexW4224019147MaRDI QIDQ2149175FDOQ2149175

Authors: Maxwell Akwasi Boateng, Akoto Yaw Omari-Sasu, Richard Kodzo Avuglah, Nana Kena Frempong 

Publication date: 28 June 2022

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2022/1422394

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Multivariate analysis (62Hxx) Functional equations and inequalities (39Bxx)

Cites Work

• Vine copulas with asymmetric tail dependence and applications to financial return data
• Bivariate Exponential Distributions
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• Understanding Relationships Using Copulas
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• Tests of symmetry for bivariate copulas
• Problems on associative functions
• Statistics of financial markets. An introduction.
• Empirical estimation of tail dependence using copulas: application to Asian markets
• Hybrid Clayton-Frank convolution-based bivariate Archimedean copula
• Computationally efficient Bayesian estimation of high-dimensional Archimedean copulas with discrete and mixed margins
• Do stock returns have an Archimedean copula?
• Title not available (Why is that?)

Cited In (1)

• Modeling dependence based on mixture copulas and its application in risk management

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