Construction and sampling of Archimedean and nested Archimedean Lévy copulas
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Nicole Bäuerle & Anja Blatter & Alfred Müller, 2008. "Dependence properties and comparison results for Lévy processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 67(1), pages 161-186, February.
- Grothe, Oliver & Nicklas, Stephan, 2013. "Vine constructions of Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 1-15.
- Hofert, Marius & Pham, David, 2013. "Densities of nested Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 118(C), pages 37-52.
- Cornelia Savu & Mark Trede, 2010. "Hierarchies of Archimedean copulas," Quantitative Finance, Taylor & Francis Journals, vol. 10(3), pages 295-304.
- Marius Hofert & Matthias Scherer, 2011. "CDO pricing with nested Archimedean copulas," Quantitative Finance, Taylor & Francis Journals, vol. 11(5), pages 775-787.
- Kallsen, Jan & Tankov, Peter, 2006. "Characterization of dependence of multidimensional Lévy processes using Lévy copulas," Journal of Multivariate Analysis, Elsevier, vol. 97(7), pages 1551-1572, August.
- Klaus Bocker & Claudia Kluppelberg, 2010. "Multivariate models for operational risk," Quantitative Finance, Taylor & Francis Journals, vol. 10(8), pages 855-869.
- Ariel Almendral & Cornelis W. Oosterlee, 2007. "On American Options Under the Variance Gamma Process," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(2), pages 131-152.
- Biagini, Francesca & Ulmer, Sascha, 2009. "Asymptotics for Operational Risk Quantified with Expected Shortfall," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 39(02), pages 735-752, November.
- repec:spr:compst:v:67:y:2008:i:1:p:161-186 is not listed on IDEAS
- Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
- Mesfioui, Mhamed & Quessy, Jean-François, 2008. "Dependence structure of conditional Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 372-385, March.
- Hofert, Marius, 2008. "Sampling Archimedean copulas," Computational Statistics & Data Analysis, Elsevier, vol. 52(12), pages 5163-5174, August.
- Bäuerle, Nicole & Blatter, Anja, 2011. "Optimal control and dependence modeling of insurance portfolios with Lévy dynamics," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 398-405, May.
- Hofert, Marius, 2011. "Efficiently sampling nested Archimedean copulas," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 57-70, January.
- Joe, H., 1993. "Parametric Families of Multivariate Distributions with Given Margins," Journal of Multivariate Analysis, Elsevier, vol. 46(2), pages 262-282, August.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- repec:spr:stmapp:v:27:y:2018:i:3:d:10.1007_s10260-017-0411-1 is not listed on IDEAS
More about this item
KeywordsLévy processes; Lévy copulas; (Nested) Archimedean (Lévy) copulas; Sampling;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:138:y:2015:i:c:p:182-198. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.