Constructing hierarchical archimedean copulas with Lévy subordinators
DOI10.1016/J.JMVA.2009.10.005zbMATH Open1194.60017OpenAlexW2091639734MaRDI QIDQ968494FDOQ968494
Authors: Christian Hering, Marius Hofert, Jan-Frederik Mai, Matthias Scherer 
Publication date: 5 May 2010
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2009.10.005
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Probability distributions: general theory (60E05) Characteristic functions; other transforms (60E10) Multivariate analysis (62H99) Random number generation in numerical analysis (65C10)
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Cited In (25)
- Research on CDS pricing model with endogenous recovery rate
- The infinite extendibility problem for exchangeable real-valued random vectors
- Regional air quality conformity in transportation networks with stochastic dependencies: a theoretical copula-based model
- Pricing distressed CDOs with stochastic recovery
- Modeling credit portfolio derivatives, including both a default and a prepayment feature
- Nonparametric estimation of the tree structure of a nested Archimedean copula
- Hierarchical Archimax copulas
- SPATIAL DEPENDENCE AND AGGREGATION IN WEATHER RISK HEDGING: A LÉVY SUBORDINATED HIERARCHICAL ARCHIMEDEAN COPULAS (LSHAC) APPROACH
- Compound vectors of subordinators and their associated positive Lévy copulas
- Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions
- \(H\)-extendible copulas
- Clustering of time series via non-parametric tail dependence estimation
- Copulas, stable tail dependence functions, and multivariate monotonicity
- Penalized estimation of hierarchical Archimedean copula
- Quantifying the impact of different copulas in a generalized CreditRisk+ framework An empirical study
- Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case
- A review of copula models for economic time series
- Modeling cause-of-death mortality using hierarchical Archimedean copula
- Properties of hierarchical Archimedean copulas
- On structure, family and parameter estimation of hierarchical Archimedean copulas
- Hierarchical Archimedean copulas through multivariate compound distributions
- A Compendium of Copulas
- Sampling Exchangeable and Hierarchical Marshall-Olkin Distributions
- On the structure and estimation of hierarchical Archimedean copulas
- Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs
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