On the structure and estimation of hierarchical Archimedean copulas
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Cites work
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- scientific article; zbMATH DE number 3258670 (Why is no real title available?)
- A Class of Nonparametric Tests for Independence in Bivariate Populations
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- A stochastic representation and sampling algorithm for nested Archimedean copulas
- An introduction to copulas.
- Asymptotic Normality of Nonparametric Tests for Independence
- Asymptotic efficiency of the two-stage estimation method for copula-based models
- Beyond simplified pair-copula constructions
- Cluster analysis for portfolio optimization
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Copula-based multivariate GARCH model with uncorrelated dependent errors
- Densities of nested Archimedean copulas
- Efficient Bayesian inference for Gaussian copula regression models
- Efficient Estimation of Semiparametric Multivariate Copula Models
- Efficiently sampling nested Archimedean copulas
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
- Goodness-of-fit tests for copulas
- Goodness-of-fit tests for parametric families of Archimedean copulas
- Hierarchies of Archimedean copulas
- Maximization by Parts in Likelihood Inference
- Measurement of aggregate risk with copulas
- Model Selection and Semiparametric Inference for Bivariate Failure-Time Data
- Modeling longitudinal data using a pair-copula decomposition of serial dependence
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Nonparametric estimation of copula functions for dependence modelling
- Pair-copula constructions of multiple dependence
- Properties of hierarchical Archimedean copulas
- Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection
- Sampling from Archimedean copulas
- Sampling nested Archimedean copulas
- Selecting and estimating regular vine copulae and application to financial returns
- Statistical Inference Procedures for Bivariate Archimedean Copulas
- The Use of Archimedean Copulas to Model Portfolio Allocations
- Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
- Vines -- a new graphical model for dependent random variables.
Cited in
(61)- Fitting high-dimensional copulae to data
- Transformation-Kernel Estimation of Copula Densities
- Copulae: an overview and recent developments
- Copula modeling from Abe Sklar to the present day
- Penalized estimation of hierarchical Archimedean copula
- Vulnerability-CoVaR: investigating the crypto-market
- Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation
- Solving Estimating Equations With Copulas
- Composite pseudo-likelihood estimation for pair-tractable copulas such as Archimedean, Archimax and related hierarchical extensions
- Hierarchical Kendall copulas: properties and inference
- New perspectives on knockoffs construction
- Clustering of time series via non-parametric tail dependence estimation
- Estimating Archimedean copulas in high dimensions
- Detecting departures from meta-ellipticity for multivariate stationary time series
- Hierarchical time series clustering on tail dependence with linkage based on a multivariate copula approach
- Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity
- Detection of block-exchangeable structure in large-scale correlation matrices
- Modeling cause-of-death mortality using hierarchical Archimedean copula
- Hypothesis Tests for Structured Rank Correlation Matrices
- Outer power transformations of hierarchical Archimedean copulas: construction, sampling and estimation
- Pairwise and global dependence in trivariate copula models
- Risk aggregation in non-life insurance: standard models vs. internal models
- Computing the volume of a high-dimensional semi-unsupervised hierarchical copula
- A copula-based hierarchical hybrid loss distribution
- Do stock returns have an Archimedean copula?
- Spatial dependence and aggregation in weather risk hedging: a Lévy subordinated hierarchical Archimedean copulas (LSHAC) approach
- Estimation of high-order moment-independent importance measures for Shapley value analysis
- Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case
- Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions
- GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS
- Hierarchical Archimedean copulas through multivariate compound distributions
- A multivariate volatility vine copula model
- The general tail dependence function in the Marshall-Olkin and other parametric copula models with an application to financial time series
- A goodness-of-fit test based on Kendall's process: Durante's bivariate copula models
- Nonparametric estimation of the tree structure of a nested Archimedean copula
- Properties of hierarchical Archimedean copulas
- Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs
- scientific article; zbMATH DE number 1894358 (Why is no real title available?)
- Modeling dependence between loss triangles with hierarchical Archimedean copulas
- HMM and HAC
- Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family
- Bayesian Model Averaging Over Tree-based Dependence Structures for Multivariate Extremes
- Construction and sampling of Archimedean and nested Archimedean Lévy copulas
- On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison
- The finite sample properties of sparse M-estimators with pseudo-observations
- Hierarchies of Archimedean copulas
- De copulis non est disputandum. Copulae: an overview
- Flexible pair-copula estimation in D-vines using bivariate penalized splines
- Hierarchical Archimax copulas
- Modeling multivariate extreme events using self-exciting point processes
- On structure, family and parameter estimation of hierarchical Archimedean copulas
- Testing for structural breaks in factor copula models
- Hidden Markov structures for dynamic copulae
- A Bayesian hierarchical copula model
- scientific article; zbMATH DE number 6458325 (Why is no real title available?)
- Inference on Archimedean copulas using mixtures of Pólya trees
- Estimation of hierarchical Archimedean copulas as a shortest path problem
- How to improve the fit of Archimedean copulas by means of transforms
- Kendall's tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas
- Copula sensitivity analysis for portfolio credit derivatives
- Asymmetry in tail dependence in equity portfolios
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