Simulating from Exchangeable Archimedean Copulas
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Cites work
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Cited in
(28)- Sampling Archimedean copulas
- About the exact simulation of bivariate (reciprocal) Archimax copulas
- Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case
- Adaptive importance sampling for simulating copula-based distributions
- Benford's law beyond independence : tracking Benford behavior in copula models
- Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index
- Quasi-random numbers for copula models
- Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals
- The joint distribution of stock returns is not elliptical
- Estimating Archimedean copulas in high dimensions
- Simulation of some multivariate distributions
- Simulating copulas. Stochastic models, sampling algorithms and applications. With contributions by Claudia Czado, Elke Korn, Ralf Korn and Jakob Stöber
- Modeling spot price dependence in Australian electricity markets with applications to risk management
- Likelihood inference for Archimedean copulas in high dimensions under known margins
- Sampling from Archimedean copulas
- A general approach to generate random variates for multivariate copulae
- Sampling from Archimedean n-copulas
- Matching a correlation coefficient by a Gaussian copula
- Mutual information as a measure of multivariate association: analytical properties and statistical estimation
- Hierarchical Kendall copulas: properties and inference
- Random variables generated by ranks in dependent schemes.
- Comments on: Inference in multivariate Archimedean copula models
- Dependence Model Assessment and Selection with DecoupleNets
- Asymptotics for credit portfolio losses due to defaults in a multi-sector model
- Non-parametric estimation of the covariate-dependent bivariate distribution for censored gap times
- Multivariate copula-based conditional quantiles: analytic higher-order moments and ratio estimation approaches
- Exact simulation of reciprocal Archimedean copulas
- Lorenz-generated bivariate Archimedean copulas
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