Multivariate hierarchical copulas with shocks
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Publication:607608
DOI10.1007/s11009-009-9134-6zbMath1201.62063MaRDI QIDQ607608
Matthias Scherer, Fabrizio Durante, Marius Hofert
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
62H99: Multivariate analysis
62H05: Characterization and structure theory for multivariate probability distributions; copulas
60E05: Probability distributions: general theory
91B70: Stochastic models in economics
65C10: Random number generation in numerical analysis
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Cites Work
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