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Rejoinder on: Inference in multivariate Archimedean copula models

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  • Christian Genest
  • Johanna Nešlehová
  • Johanna Ziegel

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  • Christian Genest & Johanna Nešlehová & Johanna Ziegel, 2011. "Rejoinder on: Inference in multivariate Archimedean copula models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(2), pages 290-292, August.
    • Handle: RePEc:spr:testjl:v:20:y:2011:i:2:p:290-292
    DOI: 10.1007/s11749-011-0258-y
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    References listed on IDEAS

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    1. Emura, Takeshi & Lin, Chien-Wei & Wang, Weijing, 2010. "A goodness-of-fit test for Archimedean copula models in the presence of right censoring," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3033-3043, December.
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    Cited by:

    1. Elena Di Bernardino & Didier Rullière, 2017. "A note on upper-patched generators for Archimedean copulas," Post-Print hal-01347869, HAL.
    2. Segers, Johan & Uyttendaele, Nathan, 2014. "Nonparametric estimation of the tree structure of a nested Archimedean copula," Computational Statistics & Data Analysis, Elsevier, vol. 72(C), pages 190-204.
    3. 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, vol. 1, pages 1-36, October.
    4. Elisa Perrone & Andreas Rappold & Werner G. Müller, 2017. "$$D_s$$ D s -optimality in copula models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 26(3), pages 403-418, August.
    5. Elena Di Bernardino & Didier Rullière, 2015. "Estimation of multivariate critical layers: Applications to rainfall data," Post-Print hal-00940089, HAL.
    6. Chun, Hyonho & Lee, Myung Hee & Fleet, James C. & Oh, Ji Hwan, 2016. "Graphical models via joint quantile regression with component selection," Journal of Multivariate Analysis, Elsevier, vol. 152(C), pages 162-171.
    7. Vadim Semenikhine & Edward Furman & Jianxi Su, 2018. "On a Multiplicative Multivariate Gamma Distribution with Applications in Insurance," Risks, MDPI, vol. 6(3), pages 1-20, August.
    8. Hofert, Marius, 2021. "Right-truncated Archimedean and related copulas," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 79-91.
    9. André Neumann & Thorsten Dickhaus, 2020. "Nonparametric Archimedean generator estimation with implications for multiple testing," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(2), pages 309-323, June.
    10. Patton, Andrew J., 2012. "A review of copula models for economic time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 4-18.
    11. Yeting Du & Johanna Nešlehová, 2013. "A moment-based test for extreme-value dependence," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(5), pages 673-695, July.
    12. Elena Di Bernardino & Didier Rullière, 2016. "A note on upper-patched generators for Archimedean copulas," Working Papers hal-01347869, HAL.
    13. Jorge Navarro & Hon Keung Tony Ng & Narayanaswamy Balakrishnan, 2012. "Parametric inference for component distributions from lifetimes of systems with dependent components," Naval Research Logistics (NRL), John Wiley & Sons, vol. 59(7), pages 487-496, October.
    14. Ostap Okhrin & Anastasija Tetereva, 2017. "The Realized Hierarchical Archimedean Copula in Risk Modelling," Econometrics, MDPI, vol. 5(2), pages 1-31, June.
    15. Guglielmo D’Amico & Giovanni Masala & Filippo Petroni & Robert Adam Sobolewski, 2020. "Managing Wind Power Generation via Indexed Semi-Markov Model and Copula," Energies, MDPI, vol. 13(16), pages 1-21, August.
    16. Antonov I. N. & Knyazev A. G. & Lepekhin O. A., 2016. "Copula Models of the Joint Distribution of Exchange Rates," World of economics and management / Vestnik NSU. Series: Social and Economics Sciences, Socionet, vol. 16(4), pages 20-38.
    17. Elena Di Bernardino & Didier Rullière, 2016. "On tail dependence coefficients of transformed multivariate Archimedean copulas," Post-Print hal-00992707, HAL.
    18. Segers, Johan & Uyttendaele, Nathan, 2013. "Nonparametric estimation of the tree structure of a nested Archimedean copula," LIDAM Discussion Papers ISBA 2013009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    19. Bücher, Axel & Dette, Holger & Volgushev, Stanislav, 2012. "A test for Archimedeanity in bivariate copula models," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 121-132.
    20. Quessy, Jean-François & Bahraoui, Tarik, 2014. "Weak convergence of empirical and bootstrapped C-power processes and application to copula goodness-of-fit," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 16-36.

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