Dependence structure of conditional Archimedean copulas
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Publication:2476141
DOI10.1016/J.JMVA.2006.10.007zbMATH Open1133.60010OpenAlexW2049949146MaRDI QIDQ2476141FDOQ2476141
Authors: Jean-François Quessy, Mhamed Mesfioui 
Publication date: 11 March 2008
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2006.10.007
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Cited In (26)
- Construction and sampling of Archimedean and nested Archimedean Lévy copulas
- Hierarchical Archimax copulas
- Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
- A copula transformation in multivariate mixed discrete-continuous models
- Dynamic dependence ordering for Archimedean copulas and distorted copulas
- Conditional copula simulation for systemic risk stress testing
- Study of partial and average conditional Kendall's tau
- Inequalities for Gaussian random variables under Archimedean copula dependence
- Gaussian approximation of conditional elliptical copulas
- Multiplier bootstrap methods for conditional distributions
- Extremal behavior of Archimedean copulas
- Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family
- Two copulas associated with extremum
- Univariate conditioning of copulas
- Bounds for the Clayton copula
- Title not available (Why is that?)
- On convergence and singularity of conditional copulas of multivariate Archimedean copulas, and conditional dependence
- Median and quantile conditional copulas
- The partial copula: properties and associated dependence measures
- Simplified pair copula constructions -- limitations and extensions
- Archimedean copula and contagion modeling in epidemiology
- Tail dependence for regularly varying time series
- Properties of hierarchical Archimedean copulas
- Archimedean copulae and positive dependence
- Copula-based semiparametric models for multivariate time series
- Tails of multivariate Archimedean copulas
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