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Construction of asymmetric multivariate copulas

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Cited by:

  1. Ostap Okhrin & Martin Odening & Wei Xu, 2013. "Systemic Weather Risk and Crop Insurance: The Case of China," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 351-372, June.
  2. Arbel, Julyan & Crispino, Marta & Girard, Stéphane, 2019. "Dependence properties and Bayesian inference for asymmetric multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 174(C).
  3. Kojadinovic, Ivan & Yan, Jun, 2010. "Nonparametric rank-based tests of bivariate extreme-value dependence," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2234-2249, October.
  4. Mazo, Gildas & Girard, Stéphane & Forbes, Florence, 2015. "A class of multivariate copulas based on products of bivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 140(C), pages 363-376.
  5. Elena Di Bernardino & Didier Rullière, 2016. "On an asymmetric extension of multivariate Archimedean copulas based on quadratic form," Working Papers hal-01147778, HAL.
  6. Wu, Shaomin, 2014. "Construction of asymmetric copulas and its application in two-dimensional reliability modelling," European Journal of Operational Research, Elsevier, vol. 238(2), pages 476-485.
  7. Tarik Bahraoui & Jean‐François Quessy, 2022. "Tests of multivariate copula exchangeability based on Lévy measures," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(3), pages 1215-1243, September.
  8. Kojadinovic, Ivan, 2017. "Some copula inference procedures adapted to the presence of ties," Computational Statistics & Data Analysis, Elsevier, vol. 112(C), pages 24-41.
  9. Farid El Ktaibi & Rachid Bentoumi & Nicola Sottocornola & Mhamed Mesfioui, 2022. "Bivariate Copulas Based on Counter-Monotonic Shock Method," Risks, MDPI, vol. 10(11), pages 1-20, October.
  10. Diks, Cees & Panchenko, Valentyn & Sokolinskiy, Oleg & van Dijk, Dick, 2014. "Comparing the accuracy of multivariate density forecasts in selected regions of the copula support," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 79-94.
  11. 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).
  12. 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.
  13. Martin Bladt & Alexander J. McNeil, 2020. "Time series copula models using d-vines and v-transforms," Papers 2006.11088, arXiv.org, revised Jul 2021.
  14. Christian Bucio-Pacheco & Miriam Sosa-Castro & Francisco Reyes-Zarate, 2023. "Volatilidad dinamica en el sector bancario en Mexico: evidencia DCC-GARCH vs Copula-GARCH," EconoQuantum, Revista de Economia y Finanzas, Universidad de Guadalajara, Centro Universitario de Ciencias Economico Administrativas, Departamento de Metodos Cuantitativos y Maestria en Economia., vol. 20(2), pages 69-93, Julio-Dic.
  15. Morf, Heinrich, 2021. "A validation frame for deterministic solar irradiance forecasts," Renewable Energy, Elsevier, vol. 180(C), pages 1210-1221.
  16. Sabrina Mulinacci, 2017. "A systemic shock model for too big to fail financial institutions," Papers 1704.02160, arXiv.org, revised Apr 2017.
  17. Kojadinovic, Jean D. & Segers, Johan & Yan, Yun, 2011. "Large-sample tests of extreme-value dependence for multivariate copulas," LIDAM Discussion Papers ISBA 2011012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  18. Saminger-Platz Susanne & Klement Erich Peter & Arias-García José De Jesús & Mesiar Radko, 2017. "Characterizations of bivariate conic, extreme value, and Archimax copulas," Dependence Modeling, De Gruyter, vol. 5(1), pages 45-58, January.
  19. Fouad Marri & Khouzeima Moutanabbir, 2021. "Risk aggregation and capital allocation using a new generalized Archimedean copula," Papers 2103.10989, arXiv.org.
  20. Kahkashan Afrin & Ashif S Iquebal & Mostafa Karimi & Allyson Souris & Se Yoon Lee & Bani K Mallick, 2020. "Directionally dependent multi-view clustering using copula model," PLOS ONE, Public Library of Science, vol. 15(10), pages 1-18, October.
  21. Sabrina Mulinacci, 2022. "A Marshall-Olkin Type Multivariate Model with Underlying Dependent Shocks," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2455-2484, December.
  22. Amjad, Muhammad & Akbar, Muhammad & Ullah, Hamd, 2022. "A copula-based approach for creating an index of micronutrient intakes at household level in Pakistan," Economics & Human Biology, Elsevier, vol. 46(C).
  23. Cerqueti, Roy & Lupi, Claudio, 2015. "Total positivity for a class of non-exchangeable copulas," Economics & Statistics Discussion Papers esdp15077, University of Molise, Department of Economics.
  24. Mohamed Achibi & Michel Broniatowski & Catherine Duveau & Alice Marboeuf, 2012. "Bivariate Cox models and copulas," Journal of Risk and Reliability, , vol. 226(5), pages 476-487, October.
  25. Yuhao Liu & Petar M. Djurić & Young Shin Kim & Svetlozar T. Rachev & James Glimm, 2021. "Systemic Risk Modeling with Lévy Copulas," JRFM, MDPI, vol. 14(6), pages 1-20, June.
  26. 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.
  27. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
  28. Savinov, Evgeniy & Shamraeva, Victoria, 2023. "On a Rosenblatt-type transformation of multivariate copulas," Econometrics and Statistics, Elsevier, vol. 25(C), pages 39-48.
  29. Marri, Fouad & Moutanabbir, Khouzeima, 2022. "Risk aggregation and capital allocation using a new generalized Archimedean copula," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 75-90.
  30. Martin Bladt & Alexander J. McNeil, 2021. "Time series models with infinite-order partial copula dependence," Papers 2107.00960, arXiv.org.
  31. Zhang, Yi & Gomes, António Topa & Beer, Michael & Neumann, Ingo & Nackenhorst, Udo & Kim, Chul-Woo, 2019. "Reliability analysis with consideration of asymmetrically dependent variables: Discussion and application to geotechnical examples," Reliability Engineering and System Safety, Elsevier, vol. 185(C), pages 261-277.
  32. Xin Liu & Jiang Wu & Chen Yang & Wenjun Jiang, 2018. "A Maximal Tail Dependence-Based Clustering Procedure for Financial Time Series and Its Applications in Portfolio Selection," Risks, MDPI, vol. 6(4), pages 1-26, October.
  33. 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.
  34. Zheng Wei & Seongyong Kim & Boseung Choi & Daeyoung Kim, 2019. "Multivariate Skew Normal Copula for Asymmetric Dependence: Estimation and Application," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 365-387, January.
  35. Saikat Mukherjee & Farhad Jafari & Jong-Min Kim, 2012. "Characterization of Differentiable Copulas," Papers 1210.2953, arXiv.org.
  36. Fabrizio Durante & Ostap Okhrin, 2014. "Estimation procedures for exchangeable Marshall copulas with hydrological application," SFB 649 Discussion Papers SFB649DP2014-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  37. Xie, Jiehua & Lin, Feng & Yang, Jingping, 2017. "On a generalization of Archimedean copula family," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 121-129.
  38. Bücher, Axel & Kojadinovic, Ivan & Rohmer, Tom & Segers, Johan, 2014. "Detecting changes in cross-sectional dependence in multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 132(C), pages 111-128.
  39. Yang, Xipei & Frees, Edward W. & Zhang, Zhengjun, 2011. "A generalized beta copula with applications in modeling multivariate long-tailed data," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 265-284, September.
  40. Roger J. Jiao & Feng Zhou & Chih-Hsing Chu, 2017. "Decision theoretic modeling of affective and cognitive needs for product experience engineering: key issues and a conceptual framework," Journal of Intelligent Manufacturing, Springer, vol. 28(7), pages 1755-1767, October.
  41. Hofert, Marius & Mächler, Martin & McNeil, Alexander J., 2012. "Likelihood inference for Archimedean copulas in high dimensions under known margins," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 133-150.
  42. Zhou, Rui & Ji, Min, 2021. "Modelling mortality dependence: An application of dynamic vine copula," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 241-255.
  43. 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.
  44. Bladt, Martin & McNeil, Alexander J., 2022. "Time series copula models using d-vines and v-transforms," Econometrics and Statistics, Elsevier, vol. 24(C), pages 27-48.
  45. A. Martins & H. Ferreira, 2014. "Extremal properties of M4 processes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 388-408, June.
  46. Christian Genest & Johanna Nešlehová & Jean-François Quessy, 2012. "Tests of symmetry for bivariate copulas," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(4), pages 811-834, August.
  47. Kojadinovic, Ivan & Rohmer, Tom & Segers, Johan, 2013. "Detecting changes in cross-sectional dependence in multivariate time series," LIDAM Discussion Papers ISBA 2013051, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  48. Fouad Marri & Khouzeima Moutanabbir, 2021. "Risk aggregation and capital allocation using a new generalized Archimedean copula," Working Papers hal-03169291, HAL.
  49. Bladt Martin & McNeil Alexander J., 2022. "Time series with infinite-order partial copula dependence," Dependence Modeling, De Gruyter, vol. 10(1), pages 87-107, January.
  50. Song, Yupeng & Basu, Biswajit & Zhang, Zili & Sørensen, John Dalsgaard & Li, Jie & Chen, Jianbing, 2021. "Dynamic reliability analysis of a floating offshore wind turbine under wind-wave joint excitations via probability density evolution method," Renewable Energy, Elsevier, vol. 168(C), pages 991-1014.
  51. Jean-David Fermanian & Dragan Radulovic & Marten Wegkamp, 2013. "A Asymptotic Total Variation Test for Copulas," Working Papers 2013-25, Center for Research in Economics and Statistics.
  52. Ané, Thierry & Métais, Carole, 2009. "The distribution of realized variances: Marginal behaviors, asymmetric dependence and contagion effects," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 134-150, June.
  53. Ramadhani, Adhitya & Khan, Faisal & Colbourne, Bruce & Ahmed, Salim & Taleb-Berrouane, Mohammed, 2022. "Resilience assessment of offshore structures subjected to ice load considering complex dependencies," Reliability Engineering and System Safety, Elsevier, vol. 222(C).
  54. Su, Jianxi & Hua, Lei, 2017. "A general approach to full-range tail dependence copulas," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 49-64.
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