Multivariate hierarchical copulas with shocks
DOI10.1007/S11009-009-9134-6zbMATH Open1201.62063OpenAlexW2076867230MaRDI QIDQ607608FDOQ607608
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
Recommendations
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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Cited In (12)
- Singular components of shock model copulas
- Shock models with dependence and asymmetric linkages
- Hierarchical Archimedean dependence in common shock models
- Clustering of time series via non-parametric tail dependence estimation
- A method for constructing higher-dimensional copulas
- Marshall-Olkin type copulas generated by a global shock
- Copula modeling from Abe Sklar to the present day
- \textit{Within} and \textit{between} systemic country risk. Theory and evidence from the sovereign crisis in Europe
- Comments on: Inference in multivariate Archimedean copula models
- Some multivariate imprecise shock model copulas
- Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity
- Shock models with recovery option via the maxmin copulas
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