Results 161 to 170 of about 4,162 (190)

Frankʼs condition for multivariate Archimedean copulas

Fuzzy Sets and Systems, 2014
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Arturo Erdely, José M González-Barrios
exaly   +2 more sources

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
exaly   +3 more sources

Hierarchical Archimedean Copulas

SpringerBriefs in Applied Statistics and Econometrics
Jan Górecki, Ostap Okhrin
exaly   +2 more sources

Semiparametric bivariate Archimedean copulas

Computational Statistics & Data Analysis, 2011
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
José Miguel Hernández-Lobato, Alberto Suárez 0001   +1 more
openaire   +2 more sources

Sampling Archimedean copulas

Computational Statistics & Data Analysis, 2008
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
openaire   +2 more sources

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
openaire   +2 more sources

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
openaire   +1 more source

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.
openaire   +1 more source

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
openaire   +3 more sources

Archimedean copulas with applications to VaR estimation

Stat. Methods Appl., 2016
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openaire   +1 more source