Dependence structure of conditional Archimedean copulas
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Publication:2476141
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- A measure of association for bivariate frailty distribution
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- Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
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- The Use of Archimedean Copulas to Model Portfolio Allocations
Cited in
(38)- Two copulas associated with extremum
- Univariate conditioning of copulas
- Archimedean copula and contagion modeling in epidemiology
- Tail dependence for regularly varying time series
- Dependent risk models with Archimedean copulas: a computational strategy based on common mixtures and applications
- Study of partial and average conditional Kendall's tau
- Dependence properties of conditional distributions of some copula models
- Conditional copula simulation for systemic risk stress testing
- Conditioning of copulas: transformations, invariance and measures of concordance
- Conditionalization of copula-based models
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- Conditional tail independence in Archimedean copula models
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- Properties of hierarchical Archimedean copulas
- Tails of multivariate Archimedean copulas
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- Multiplier bootstrap methods for conditional distributions
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- Selecting the suitable copula function when only values of distribution functions are avaliable
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- Dynamic dependence ordering for Archimedean copulas and distorted copulas
- Stochastic comparisons and bounds for conditional distributions by using copula properties
- Spatial tail dependence and survival stability in a class of Archimedean copulas
- Stochastic dependence modelling using conditional elliptical processes
- Copula-based semiparametric models for multivariate time series
- Dependence in a background risk model
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