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Comments on: Inference in multivariate Archimedean copula models

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  • Paul Embrechts

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  • Marius Hofert

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    File URL: http://hdl.handle.net/10.1007/s11749-011-0252-4
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    Bibliographic Info

    Article provided by Springer in its journal TEST.

    Volume (Year): 20 (2011)
    Issue (Month): 2 (August)
    Pages: 263-270

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    Handle: RePEc:spr:testjl:v:20:y:2011:i:2:p:263-270

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    Web page: http://www.springerlink.com/link.asp?id=120411

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    1. Klara Goethals & Paul Janssen & Luc Duchateau, 2008. "Frailty models and copulas: similarities and differences," Journal of Applied Statistics, Taylor & Francis Journals, vol. 35(9), pages 1071-1079.
    2. Liebscher, Eckhard, 2008. "Construction of asymmetric multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2234-2250, November.
    3. E. Roy Weintraub & Evelyn L. Forget, 2007. "Introduction," History of Political Economy, Duke University Press, vol. 39(5), pages 1-6, Supplemen.
    4. Hofert, Marius, 2008. "Sampling Archimedean copulas," Computational Statistics & Data Analysis, Elsevier, vol. 52(12), pages 5163-5174, August.
    5. Marius Hofert & Martin Maechler, . "Nested Archimedean Copulas Meet R: The nacopula Package," Journal of Statistical Software, American Statistical Association, vol. 39(i09).
    6. Cornelia Savu & Mark Trede, 2008. "Goodness-of-fit tests for parametric families of Archimedean copulas," Quantitative Finance, Taylor & Francis Journals, vol. 8(2), pages 109-116.
    7. 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.
    8. 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.
    9. McNeil, Alexander J. & Neslehová, Johanna, 2010. "From Archimedean to Liouville copulas," Journal of Multivariate Analysis, Elsevier, vol. 101(8), pages 1772-1790, September.
    10. Marius Hofert & Matthias Scherer, 2011. "CDO pricing with nested Archimedean copulas," Quantitative Finance, Taylor & Francis Journals, vol. 11(5), pages 775-787.
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    Cited by:
    1. Di Bernardino Elena & Rullière Didier, 2013. "On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators," Dependence Modeling, De Gruyter Open, vol. 1, pages 1-36, October.
    2. Elena Di Bernardino & Didier Rullière, 2014. "On tail dependence coefficients of transformed multivariate Archimedean copulas," Working Papers hal-00992707, HAL.
    3. Elena Di Bernardino & Didier Rullière, 2014. "Estimation of multivariate critical layers: Applications to rainfall data," Working Papers hal-00940089, HAL.
    4. Ye, Wuyi & Liu, Xiaoquan & Miao, Baiqi, 2012. "Measuring the subprime crisis contagion: Evidence of change point analysis of copula functions," European Journal of Operational Research, Elsevier, vol. 222(1), pages 96-103.

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