Comments on: Inference in multivariate Archimedean copula models
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Bibliographic InfoArticle provided by Springer in its journal TEST.
Volume (Year): 20 (2011)
Issue (Month): 2 (August)
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Web page: http://www.springerlink.com/link.asp?id=120411
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hofert, Marius, 2008. "Sampling Archimedean copulas," Computational Statistics & Data Analysis, Elsevier, vol. 52(12), pages 5163-5174, August.
- E. Roy Weintraub & Evelyn L. Forget, 2007. "Introduction," History of Political Economy, Duke University Press, vol. 39(5), pages 1-6, Supplemen.
- Marius Hofert & Matthias Scherer, 2011. "CDO pricing with nested Archimedean copulas," Quantitative Finance, Taylor and Francis Journals, vol. 11(5), pages 775-787.
- Cornelia Savu & Mark Trede, 2008. "Goodness-of-fit tests for parametric families of Archimedean copulas," Quantitative Finance, Taylor and Francis Journals, vol. 8(2), pages 109-116.
- Klara Goethals & Paul Janssen & Luc Duchateau, 2008. "Frailty models and copulas: similarities and differences," Journal of Applied Statistics, Taylor and Francis Journals, vol. 35(9), pages 1071-1079.
- Liebscher, Eckhard, 2008. "Construction of asymmetric multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2234-2250, November.
- Christian Genest & Jean-François Quessy & Bruno Rémillard, 2006. "Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 33(2), pages 337-366.
- Gerda Claeskens & Rosemary Nguti & Paul Janssen, 2008. "One-sided tests in shared frailty models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 17(1), pages 69-82, May.
- Marius Hofert & Martin Maechler, . "Nested Archimedean Copulas Meet R: The nacopula Package," Journal of Statistical Software, American Statistical Association, vol. 39(i09).
- McNeil, Alexander J. & Neslehová, Johanna, 2010. "From Archimedean to Liouville copulas," Journal of Multivariate Analysis, Elsevier, vol. 101(8), pages 1772-1790, September.
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