Construction of asymmetric multivariate copulas
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Publication:957308
DOI10.1016/J.JMVA.2008.02.025zbMATH Open1151.62043OpenAlexW2076562295MaRDI QIDQ957308FDOQ957308
Authors: Eckhard Liebscher 
Publication date: 27 November 2008
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2008.02.025
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Cited In (98)
- Estimation of high-order moment-independent importance measures for Shapley value analysis
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- Modelling mortality dependence: an application of dynamic vine copula
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- Distorted mix method for constructing copulas with tail dependence
- Some copula inference procedures adapted to the presence of ties
- Nonparametric Identification of Copula Structures
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- Construction of asymmetric copulas and its application in two-dimensional reliability modelling
- Constructing and generalizing given multivariate copulas: a unifying approach
- Ultramodularity and copulas
- On an asymmetric extension of multivariate Archimedean copulas based on quadratic form
- Bernoulli and tail-dependence compatibility
- Tests of symmetry for bivariate copulas
- Testing asymmetry in dependence with copula-coskewness
- Trade and currency options hedging model
- Multivariate hierarchical copulas with shocks
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- Analysis of directional dependence using asymmetric copula-based regression models
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- Large-sample tests of extreme-value dependence for multivariate copulas
- New copulas based on general partitions-of-unity and their applications to risk management
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- Erratum to ``Construction of asymmetric multivariate copulas
- A generalization of Archimedean and Marshall-Olkin copulas family
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- SOME NEW RESULTS ON WEIGHTED GEOMETRIC MEAN FOR COPULAS
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- Construction of bivariate symmetric and asymmetric copulas and its relationship to ratios of conditional hazard rate functions
- Asymmetric dependence in the stochastic frontier model using skew normal copula
- Copula diagnostics for asymmetries and conditional dependence
- On the Gumbel-Barnett extended Celebioglu-Cuadras copula
- Fitting copulas in the case of missing data
- Dependence properties and Bayesian inference for asymmetric multivariate copulas
- Shock models with dependence and asymmetric linkages
- Some new developments on variable-power copulas
- Consistent Estimation of Multiple Breakpoints in Dependence Measures
- A method for constructing asymmetric pair-copula and its application
- Estimation of multivariate tail quantities
- The efficiency of constructed bivariate copulas for MEWMA and Hotelling’s T2 control charts
- The key role of convexity in some copula constructions
- Novel construction of copulas based on \((\alpha, \beta)\) transformation for fuzzy random variables
- A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions
- Modeling currency exchange data with asymmetric copula functions
- On structural properties of an asymmetric copula family and its statistical implication
- Time irreversible copula-based Markov models
- Construction of copulas for bivariate failure rates
- Extremal properties of M4 processes
- Research on radial asymmetric random variables
- The Sign Test, Paired Data, and Asymmetric Dependence: A Cautionary Tale
- A Marshall-Olkin type multivariate model with underlying dependent shocks
- Minimum-distance statistics for the selection of an asymmetric copula in Khoudraji's class of models
- Refined probabilistic response and seismic reliability evaluation of high-rise reinforced concrete structures via physically driven dimension-reduced probability density evolution equation
- Bayesian inference in cumulative distribution fields
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