H-extendible copulas
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Publication:443789
DOI10.1016/J.JMVA.2012.03.011zbMATH Open1301.62050OpenAlexW112998536MaRDI QIDQ443789FDOQ443789
Authors: Jan-Frederik Mai, Matthias Scherer 
Publication date: 13 August 2012
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2012.03.011
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Cites Work
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- A generic one-factor Lévy model for pricing synthetic CDOs
Cited In (12)
- The infinite extendibility problem for exchangeable real-valued random vectors
- Non-exchangeability of copulas arising from shock models
- Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law
- SPATIAL DEPENDENCE AND AGGREGATION IN WEATHER RISK HEDGING: A LÉVY SUBORDINATED HIERARCHICAL ARCHIMEDEAN COPULAS (LSHAC) APPROACH
- Detection of block-exchangeable structure in large-scale correlation matrices
- Title not available (Why is that?)
- Kendall's tau for hierarchical data
- The class of multivariate max-id copulas with \(\ell_{1}\)-norm symmetric exponent measure
- Copulas, stable tail dependence functions, and multivariate monotonicity
- Characterization of extendible distributions with exponential minima via processes that are infinitely divisible with respect to time
- Hypothesis Tests for Structured Rank Correlation Matrices
- A copula‐based risk aggregation model
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