Results 171 to 180 of about 4,073 (193)
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Hierarchies of Archimedean copulas
Quantitative Finance, 2009We 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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Semiparametric bivariate Archimedean copulas
Computational Statistics & Data Analysis, 2011zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hernández-Lobato, José Miguel +1 more
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Frankʼs condition for multivariate Archimedean copulas
Fuzzy Sets and Systems, 2014zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Erdely, Arturo +2 more
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Computational Statistics & Data Analysis, 2008
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Estimating Archimedean Copulas in High Dimensions
Scandinavian Journal of Statistics, 2012Abstract. 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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Sampling from Archimedean copulas
Quantitative Finance, 2004We develop sampling algorithms for multivariate Archimedean copulas. For exchangeable copulas, where there is only one generating function, we first analyse the distribution of the copula itself, deriving a number of integral representations and a generating function representation.
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Simulating from Exchangeable Archimedean Copulas
Communications in Statistics - Simulation and Computation, 2007Multivariate 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 +2 more
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Sampling nested Archimedean copulas
Journal of Statistical Computation and Simulation, 2008We give algorithms for sampling from non-exchangeable Archimedean copulas created by the nesting of Archimedean copula generators, where in the most general algorithm the generators may be nested to an arbitrary depth. These algorithms are based on mixture representations of these copulas using Laplace transforms.
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Multivariate Archimedean Quasi-Copulas
2002Abstract In this paper we define and study basic properties of multivariate Archimedean quasi-copulas. In particular, we examine properties concerning generators, diagonal sections, permutation symmetry, level sets and order.
Roger B. Nelsen +3 more
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Diagonal copulas of archimedean class
Communications in Statistics - Theory and Methods, 1996In this paper the concept of diagonal copulas is introduced and its properties are examined. It is shown that for the Archimedean class, the diagonal copula uniquely determines the corresponding copula. This fact helps to reduce the dimension and makes it easier to understand the underlying dependence structure without losing any information. Therefore
Engin A. Sungur, Yimin Yang
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