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Rejoinder on: Inference in multivariate Archimedean copula models

Author

Listed:
  • Christian Genest

    ()

  • Johanna Nešlehová

    ()

  • Johanna Ziegel

    ()

Abstract

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Suggested Citation

  • 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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    File URL: http://hdl.handle.net/10.1007/s11749-011-0258-y
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    References listed on IDEAS

    as
    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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    Citations

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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. 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.
    4. Elena Di Bernardino & Didier Rullière, 2016. "A note on upper-patched generators for Archimedean copulas," Working Papers hal-01347869, HAL.
    5. repec:gam:jecnmx:v:5:y:2017:i:2:p:26-:d:101602 is not listed on IDEAS
    6. 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 Open, vol. 1, pages 1-36, October.
    7. repec:spr:stmapp:v:26:y:2017:i:3:d:10.1007_s10260-016-0375-6 is not listed on IDEAS
    8. Elena Di Bernardino & Didier Rullière, 2016. "On tail dependence coefficients of transformed multivariate Archimedean copulas," Post-Print hal-00992707, HAL.
    9. 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.
    10. Elena Di Bernardino & Didier Rullière, 2015. "Estimation of multivariate critical layers: Applications to rainfall data," Post-Print hal-00940089, HAL.
    11. 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.
    12. 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.
    13. Patton, Andrew J., 2012. "A review of copula models for economic time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 4-18.

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