Multivariate hierarchical copulas with shocks

DOI10.1007/S11009-009-9134-6MaRDI QIDQ607608zbMATH OpenOpenAlexFDO

Authors Fabrizio Durante, Marius Hofert, Matthias Scherer

Publication date 22 November 2010

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-009-9134-6

zbMATH Keywords

copulahierarchical structureMarshall-Olkin distributionshock modelsingular component

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Multivariate analysis (62H99) Random number generation in numerical analysis (65C10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Stochastic models in economics (91B70)

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Cites work

• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
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• scientific article; zbMATH DE number 6448277 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• A Multivariate Exponential Distribution
• A continuous general multivariate distribution and its properties
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• CDO pricing with nested Archimedean copulas
• Construction of asymmetric multivariate copulas
• Families of Multivariate Distributions
• Hierarchies of Archimedean copulas
• Inequalities: theory of majorization and its applications
• Lévy-frailty copulas
• On a family of multivariate copulas for aggregation processes
• Pair-copula constructions of multiple dependence
• Sampling Archimedean copulas
• Sampling nested Archimedean copulas
• Semilinear copulas
• Some new characterizations and properties of quasi-copulas

Cited in

(12)

• Clustering of time series via non-parametric tail dependence estimation
• Singular components of shock model copulas
• Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity
• Comments on: Inference in multivariate Archimedean copula models
• A method for constructing higher-dimensional copulas
• \textit{Within} and \textit{between} systemic country risk. Theory and evidence from the sovereign crisis in Europe
• Copula modeling from Abe Sklar to the present day
• Marshall-Olkin type copulas generated by a global shock
• Shock models with dependence and asymmetric linkages
• Shock models with recovery option via the maxmin copulas
• Hierarchical Archimedean dependence in common shock models
• Some multivariate imprecise shock model copulas

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Uses Software

• QRM

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