Constructing hierarchical archimedean copulas with Lévy subordinators
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Cites work
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 795294 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 3223982 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- A probabilistic interpretation of complete monotonicity
- An introduction to copulas. Properties and applications
- CDO pricing with nested Archimedean copulas
- Financial Modelling with Jump Processes
- On simulation from infinitely divisible distributions
- Orthant tail dependence of multivariate extreme value distributions
- Pair-copula constructions of multiple dependence
- Reparameterizing Marshall–Olkin copulas with applications to sampling
- Sampling Archimedean copulas
- Sampling from Archimedean copulas
- Sampling nested Archimedean copulas
- Vines -- a new graphical model for dependent random variables.
Cited in
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- The infinite extendibility problem for exchangeable real-valued random vectors
- Quantifying the impact of different copulas in a generalized CreditRisk\(^+\) framework. An empirical study
- Regional air quality conformity in transportation networks with stochastic dependencies: a theoretical copula-based model
- Construction and sampling of Archimedean and nested Archimedean Lévy copulas
- Pricing distressed CDOs with stochastic recovery
- Nonparametric estimation of the tree structure of a nested Archimedean copula
- Hierarchical Archimax copulas
- Modeling credit portfolio derivatives, including both a default and a prepayment feature
- Compound vectors of subordinators and their associated positive Lévy copulas
- \(H\)-extendible copulas
- Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions
- A compendium of copulas
- Sampling exchangeable and hierarchical Marshall-Olkin distributions
- Clustering of time series via non-parametric tail dependence estimation
- Copulas, stable tail dependence functions, and multivariate monotonicity
- Penalized estimation of hierarchical Archimedean copula
- Spatial dependence and aggregation in weather risk hedging: a Lévy subordinated hierarchical Archimedean copulas (LSHAC) approach
- 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
- Hierarchical Archimedean copulas through multivariate compound distributions
- On structure, family and parameter estimation of hierarchical Archimedean copulas
- On the structure and estimation of hierarchical Archimedean copulas
- Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs
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