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Sampling Archimedean copulas

Citations

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Cited by:

  1. Coblenz, Maximilian & Grothe, Oliver & Schreyer, Manuela & Trutschnig, Wolfgang, 2018. "On the length of copula level curves," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 347-365.
  2. Elena Di Bernardino & Didier Rullière, 2016. "On an asymmetric extension of multivariate Archimedean copulas based on quadratic form," Working Papers hal-01147778, HAL.
  3. Mai, Jan-Frederik & Scherer, Matthias, 2012. "H-extendible copulas," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 151-160.
  4. Nir Billfeld & Moshe Kim, 2019. "Semiparametric Wavelet-based JPEG IV Estimator for endogenously truncated data," Papers 1908.02166, arXiv.org.
  5. Elena Di Bernardino & Didier Rullière, 2017. "A note on upper-patched generators for Archimedean copulas," Post-Print hal-01347869, HAL.
  6. Chaoubi, Ihsan & Cossette, Hélène & Marceau, Etienne & Robert, Christian Y., 2021. "Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs," Computational Statistics & Data Analysis, Elsevier, vol. 154(C).
  7. Ioannis S. Triantafyllou, 2024. "Archimedean Copulas-Based Estimation under One-Parameter Distributions in Coherent Systems," Mathematics, MDPI, vol. 12(2), pages 1-14, January.
  8. Cossette, Hélène & Marceau, Etienne & Mtalai, Itre & Veilleux, Déry, 2018. "Dependent risk models with Archimedean copulas: A computational strategy based on common mixtures and applications," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 53-71.
  9. Cooray Kahadawala, 2018. "Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family," Dependence Modeling, De Gruyter, vol. 6(1), pages 1-18, February.
  10. Xiao, Qing & Zhou, Shaowu, 2018. "Probabilistic power flow computation considering correlated wind speeds," Applied Energy, Elsevier, vol. 231(C), pages 677-685.
  11. Georg Ch. Pflug & Alois Pichler, 2018. "Systemic risk and copula models," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 26(2), pages 465-483, June.
  12. Barthel, Nicole & Geerdens, Candida & Killiches, Matthias & Janssen, Paul & Czado, Claudia, 2018. "Vine copula based likelihood estimation of dependence patterns in multivariate event time data," Computational Statistics & Data Analysis, Elsevier, vol. 117(C), pages 109-127.
  13. 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.
  14. Hofert, Marius, 2011. "Efficiently sampling nested Archimedean copulas," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 57-70, January.
  15. Zhu, Wenjun & Wang, Chou-Wen & Tan, Ken Seng, 2016. "Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical tests," Journal of Banking & Finance, Elsevier, vol. 69(C), pages 20-36.
  16. Bedoui, Rihab & Braeik, Sana & Goutte, Stéphane & Guesmi, Khaled, 2018. "On the study of conditional dependence structure between oil, gold and USD exchange rates," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 134-146.
  17. Enrico Bernardi & Silvia Romagnoli, 2016. "Distorted Copula-Based Probability Distribution of a Counting Hierarchical Variable: A Credit Risk Application," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 15(02), pages 285-310, March.
  18. Hering, Christian & Hofert, Marius & Mai, Jan-Frederik & Scherer, Matthias, 2010. "Constructing hierarchical Archimedean copulas with Lévy subordinators," Journal of Multivariate Analysis, Elsevier, vol. 101(6), pages 1428-1433, July.
  19. Billio Monica & Frattarolo Lorenzo & Guégan Dominique, 2021. "Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case," Dependence Modeling, De Gruyter, vol. 9(1), pages 43-61, January.
  20. Bee, Marco, 2011. "Adaptive Importance Sampling for simulating copula-based distributions," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 237-245, March.
  21. Dodo Natatou Moutari & Hassane Abba Mallam & Diakarya Barro & Bisso Saley, 2021. "Dependence Modeling and Risk Assessment of a Financial Portfolio with ARMA-APARCH-EVT models based on HACs," Papers 2105.09473, arXiv.org.
  22. Zheng, Kedi & Chen, Huiyao & Wang, Yi & Chen, Qixin, 2022. "Data-driven financial transmission right scenario generation and speculation," Energy, Elsevier, vol. 238(PC).
  23. Candida Geerdens & Gerda Claeskens & Paul Janssen, 2016. "Copula based flexible modeling of associations between clustered event times," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 22(3), pages 363-381, July.
  24. 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.
  25. Zolotko, Mikhail & Okhrin, Ostap, 2014. "Modelling the general dependence between commodity forward curves," Energy Economics, Elsevier, vol. 43(C), pages 284-296.
  26. Hélène Cossette & Etienne Marceau & Quang Huy Nguyen & Christian Y. Robert, 2019. "Tail Approximations for Sums of Dependent Regularly Varying Random Variables Under Archimedean Copula Models," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 461-490, June.
  27. Xiao Zhao & Xian Zhou, 2015. "Estimation of copula-based models for lifetime medical costs," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(5), pages 897-915, October.
  28. Fabrizio Durante & Marius Hofert & Matthias Scherer, 2010. "Multivariate Hierarchical Copulas with Shocks," Methodology and Computing in Applied Probability, Springer, vol. 12(4), pages 681-694, December.
  29. Andreea Röthig & Andreas Röthig & Carl Chiarella, 2015. "On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models," Research Paper Series 362, Quantitative Finance Research Centre, University of Technology, Sydney.
  30. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
  31. Mai Jan-Frederik, 2019. "Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case," Dependence Modeling, De Gruyter, vol. 7(1), pages 202-214, January.
  32. He, Jun, 2021. "An extended recursive decomposition algorithm for dynamic seismic reliability evaluation of lifeline networks with dependent component failures," Reliability Engineering and System Safety, Elsevier, vol. 215(C).
  33. Zhang, Ran & Czado, Claudia & Min, Aleksey, 2011. "Efficient maximum likelihood estimation of copula based meta t-distributions," Computational Statistics & Data Analysis, Elsevier, vol. 55(3), pages 1196-1214, March.
  34. Di Bernardino Elena & Rullière Didier, 2016. "On an asymmetric extension of multivariate Archimedean copulas based on quadratic form," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-20, December.
  35. Stephan Höcht & Rudi Zagst, 2010. "Pricing distressed CDOs with stochastic recovery," Review of Derivatives Research, Springer, vol. 13(3), pages 219-244, October.
  36. Fernanda Maria Müller & Marcelo Brutti Righi, 2018. "Numerical comparison of multivariate models to forecasting risk measures," Risk Management, Palgrave Macmillan, vol. 20(1), pages 29-50, February.
  37. McNeil, Alexander J. & Neslehová, Johanna, 2010. "From Archimedean to Liouville copulas," Journal of Multivariate Analysis, Elsevier, vol. 101(8), pages 1772-1790, September.
  38. Okhrin Ostap, 2013. "Editorial to the special issue on Copulae of Statistics & Risk Modeling," Statistics & Risk Modeling, De Gruyter, vol. 30(4), pages 281-286, December.
  39. Paul Embrechts & Marius Hofert, 2011. "Comments 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 263-270, August.
  40. Grothe, Oliver & Hofert, Marius, 2015. "Construction and sampling of Archimedean and nested Archimedean Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 182-198.
  41. Okhrin Ostap & Okhrin Yarema & Schmid Wolfgang, 2013. "Properties of hierarchical Archimedean copulas," Statistics & Risk Modeling, De Gruyter, vol. 30(1), pages 21-54, March.
  42. Masih-Tehrani, Behdad & Xu, Susan H. & Kumara, Soundar & Li, Haijun, 2011. "A single-period analysis of a two-echelon inventory system with dependent supply uncertainty," Transportation Research Part B: Methodological, Elsevier, vol. 45(8), pages 1128-1151, September.
  43. Cossette, Hélène & Marceau, Etienne & Mtalai, Itre, 2019. "Collective risk models with dependence," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 153-168.
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