Results 191 to 200 of about 32,199 (223)

Hierarchies of Archimedean copulas

Quantitative Finance, 2009
We present a flexible class of hierarchical copulas capable of modelling multidimensional joint distributions of asset returns with a richer rank correlation structure than existing models. We derive estimators and simulation techniques. The methods are applied to an illustrative portfolio consisting of a subset of DAX stocks.
Cornelia Savu, Mark Trede
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A New Family of Archimedean Copulas: The Truncated-Poisson Family of Copulas

Bulletin of the Malaysian Mathematical Sciences Society, 2022
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Abdulhamid A. Alzaid, Weaam M. Alhadlaq
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Simulating from Exchangeable Archimedean Copulas

Communications in Statistics - Simulation and Computation, 2007
Multivariate exchangeable Archimedean copulas are one of the most popular classes of copulas that are used in actuarial science and finance for modeling risk dependencies and for using them to quantify the magnitude of tail dependence. Owing to the increase in popularity of copulas to measure dependent risks, generating from multivariate copulas has ...
Florence Wu, Emiliano Valdez, Michael Sherris   +2 more
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Estimating Archimedean Copulas in High Dimensions

Scandinavian Journal of Statistics, 2012
Abstract.  This article presents a novel estimation procedure for high‐dimensional Archimedean copulas. In contrast to maximum likelihood estimation, the method presented here does not require derivatives of the Archimedean generator. This is computationally advantageous for high‐dimensional Archimedean copulas in which higher‐order derivatives are ...
Hering, Christian, Stadtmüller, Ulrich
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A Generalization of the Archimedean Class of Bivariate Copulas

Annals of the Institute of Statistical Mathematics, 2006
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DURANTE, FABRIZIO, J. J. QUESADA MOLINA, SEMPI, Carlo   +2 more
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Heterogeneous Archimedean Copula

SSRN Electronic Journal, 2016
Archimedean copulae build a large family of copulae exhibiting tail-dependency in many cases. We extend the classical homogeneous (exchangeable) Archimedean copula to the heterogeneous case. This will extend the use of this copula family to multivariate random variable with pairwise different dependencies.
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Efficiently sampling nested Archimedean copulas

Computational Statistics & Data Analysis, 2011
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Archimedean copulas with applications to VaR estimation

Stat. Methods Appl., 2016
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A new computational model based on Archimedean copula for probabilistic unbalanced linguistic term set and its application to multiple attribute group decision making

Computers and Industrial Engineering, 2020
Jinpei Liu, Huayou Chen, Ligang Zhou
exaly  

Study on drought events in China based on time-varying nested Archimedean-copula function

Water Science and Technology: Water Supply, 2022
Cheng Wang, Hongrui Wang
exaly