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Constructing Generalized FGM Copulas by Means of Certain Univariate Distributions

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  • Matthias Fischer
  • Ingo Klein

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  • Matthias Fischer & Ingo Klein, 2007. "Constructing Generalized FGM Copulas by Means of Certain Univariate Distributions," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 65(2), pages 243-260, February.
    • Handle: RePEc:spr:metrik:v:65:y:2007:i:2:p:243-260
    DOI: 10.1007/s00184-006-0075-6
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    Citations

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    Cited by:

    1. R. D. Baker & I. G. McHale, 2009. "Modelling the probability distribution of prize winnings in the UK National Lottery: consequences of conscious selection," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 172(4), pages 813-834, October.
    2. Eugenio Miravete, 2014. "Testing for complementarities among countable strategies," Empirical Economics, Springer, vol. 46(4), pages 1521-1544, June.
    3. Cécile Amblard & Stéphane Girard, 2009. "A new extension of bivariate FGM copulas," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 70(1), pages 1-17, June.
    4. Bairamov, I. & Bayramoglu, K., 2013. "From the Huang–Kotz FGM distribution to Baker’s bivariate distribution," Journal of Multivariate Analysis, Elsevier, vol. 113(C), pages 106-115.
    5. Marta Cardin & Maddalena Manzi, 2008. "Multivariate dependence modeling using copulas," Working Papers 183, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    6. Mao, Tiantian & Yang, Fan, 2015. "Risk concentration based on Expectiles for extreme risks under FGM copula," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 429-439.
    7. Klein, Ingo, 2010. "Unter verallgemeinerter Mittelwertbildung abgeschlossene Familien von Copulas," Discussion Papers 86/2010, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
    8. Klein, Ingo & Christa, Florian, 2011. "Families of copulas closed under the construction of generalized linear means," FAU Discussion Papers in Economics 04/2011, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    9. Fabrizio Durante & Pier Papini, 2010. "Non-exchangeability of negatively dependent random variables," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 71(2), pages 139-149, March.
    10. Suman Thapa & Yiqiang Q. Zhao, 2021. "Estimating value at risk and conditional tail expectation for extreme and aggregate risks," Papers 2101.12402, arXiv.org.
    11. Jorge Navarro & Pedro Hernandez, 2008. "Mean residual life functions of finite mixtures, order statistics and coherent systems," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 67(3), pages 277-298, April.
    12. Cui, Hengxin & Tan, Ken Seng & Yang, Fan & Zhou, Chen, 2022. "Asymptotic analysis of portfolio diversification," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 302-325.
    13. Lin, G.D. & Huang, J.S., 2010. "A note on the maximum correlation for Baker's bivariate distributions with fixed marginals," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2227-2233, October.

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