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On the structure and estimation of hierarchical Archimedean copulas

Citations

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Cited by:

  1. Walter Krämer, 2020. "Interview mit Wolfgang Schmid," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 14(1), pages 103-111, March.
  2. Yang, Lu & Cai, Xiao Jing & Li, Mengling & Hamori, Shigeyuki, 2015. "Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas," Economic Modelling, Elsevier, vol. 51(C), pages 308-314.
  3. 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.
  4. Jean-David Fermanian, 2012. "An overview of the goodness-of-fit test problem for copulas," Papers 1211.4416, arXiv.org.
  5. Tente, Natalia & von Westernhagen, Natalja & Slopek, Ulf, 2017. "M-PRESS-CreditRisk: A holistic micro- and macroprudential approach to capital requirements," Discussion Papers 15/2017, Deutsche Bundesbank.
  6. Feng, Xiaoning & Chen, Xiaohui & Zhang, Lin, 2025. "Selective maintenance optimization for mission-oriented dynamic dependent systems under uncertain future operating environments," Reliability Engineering and System Safety, Elsevier, vol. 262(C).
  7. Benjamin Poignard & Jean-David Fermanian, 2022. "The finite sample properties of sparse M-estimators with pseudo-observations," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(1), pages 1-31, February.
  8. Li, Haoyu & Wei, Kai, 2026. "Risk assessment of strait-crossing routes using typhoon-induced multi-hazard environmental contours sampled from optimized hierarchical Archimedean copula models," Reliability Engineering and System Safety, Elsevier, vol. 266(PA).
  9. Fabrizio Durante & Roberta Pappadà & Nicola Torelli, 2015. "Clustering of time series via non-parametric tail dependence estimation," Statistical Papers, Springer, vol. 56(3), pages 701-721, August.
  10. Jörg Schwiebert, 2016. "Multinomial choice models based on Archimedean copulas," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 100(3), pages 333-354, July.
  11. Zolotko, Mikhail & Okhrin, Ostap, 2014. "Modelling the general dependence between commodity forward curves," Energy Economics, Elsevier, vol. 43(C), pages 284-296.
  12. Nathan Uyttendaele, 2018. "On the estimation of nested Archimedean copulas: a theoretical and an experimental comparison," Computational Statistics, Springer, vol. 33(2), pages 1047-1070, June.
  13. 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.
  14. Hengxin Cui & Ken Seng Tan & Fan Yang, 2024. "Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation," Annals of Operations Research, Springer, vol. 332(1), pages 55-84, January.
  15. Hengxin Cui & Ken Seng Tan & Fan Yang, 2024. "Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation," Papers 2411.06640, arXiv.org.
  16. Eling, Martin & Jung, Kwangmin, 2020. "Risk aggregation in non-life insurance: Standard models vs. internal models," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 183-198.
  17. repec:hum:wpaper:sfb649dp2014-014 is not listed on IDEAS
  18. 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.
  19. Matsypura, Dmytro & Neo, Emily & Prokhorov, Artem, 2016. "Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem," Economics Letters, Elsevier, vol. 149(C), pages 131-134.
  20. Quanrui Song & Jianxu Liu & Songsak Sriboonchitta, 2019. "Risk Measurement of Stock Markets in BRICS, G7, and G20: Vine Copulas versus Factor Copulas," Mathematics, MDPI, vol. 7(3), pages 1-16, March.
  21. Martin Waltz & Abhay Kumar Singh & Ostap Okhrin, 2022. "Vulnerability-CoVaR: investigating the crypto-market," Quantitative Finance, Taylor & Francis Journals, vol. 22(9), pages 1731-1745, September.
  22. Henry Penikas, 2014. "Investment portfolio risk modelling based on hierarchical copulas," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 35(3), pages 18-38.
  23. repec:hum:wpaper:sfb649dp2012-032 is not listed on IDEAS
  24. Han, Yingwei & Li, Jie, 2022. "Should investors include green bonds in their portfolios? Evidence for the USA and Europe," International Review of Financial Analysis, Elsevier, vol. 80(C).
  25. Vettori, Sabrina & Huser, Raphael & Segers, Johan & Genton, Marc, 2017. "Bayesian Clustering and Dimension Reduction in Multivariate Extremes," LIDAM Discussion Papers ISBA 2017017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  26. Jondeau, Eric, 2016. "Asymmetry in tail dependence in equity portfolios," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 351-368.
  27. Lei, Lei & Peng, Yijie & Fu, Michael C. & Hu, Jian-Qiang, 2023. "Copula sensitivity analysis for portfolio credit derivatives," European Journal of Operational Research, Elsevier, vol. 308(1), pages 455-466.
  28. Jean-David Fermanian, 2017. "Recent Developments in Copula Models," Econometrics, MDPI, vol. 5(3), pages 1-3, July.
  29. repec:hum:wpaper:sfb649dp2013-041 is not listed on IDEAS
  30. Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013. "Valuation of collateralized debt obligations with hierarchical Archimedean copulae," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 42-62.
  31. Manner, Hans & Stark, Florian & Wied, Dominik, 2019. "Testing for structural breaks in factor copula models," Journal of Econometrics, Elsevier, vol. 208(2), pages 324-345.
  32. Grothe, Oliver & Korniichuk, Volodymyr & Manner, Hans, 2014. "Modeling multivariate extreme events using self-exciting point processes," Journal of Econometrics, Elsevier, vol. 182(2), pages 269-289.
  33. 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).
  34. Zhang, Shulin & Okhrin, Ostap & Zhou, Qian M. & Song, Peter X.-K., 2016. "Goodness-of-fit test for specification of semiparametric copula dependence models," Journal of Econometrics, Elsevier, vol. 193(1), pages 215-233.
  35. Górecki J. & Hofert M. & Holeňa M., 2017. "Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas," Dependence Modeling, De Gruyter, vol. 5(1), pages 75-87, January.
  36. A. Ford Ramsey & Barry K. Goodwin, 2019. "Value-at-Risk and Models of Dependence in the U.S. Federal Crop Insurance Program," JRFM, MDPI, vol. 12(2), pages 1-21, April.
  37. Cossette, Hélène & Gadoury, Simon-Pierre & Marceau, Étienne & Mtalai, Itre, 2017. "Hierarchical Archimedean copulas through multivariate compound distributions," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 1-13.
  38. Ostap Okhrin & Anastasija Tetereva, 2017. "The Realized Hierarchical Archimedean Copula in Risk Modelling," Econometrics, MDPI, vol. 5(2), pages 1-31, June.
  39. Wolfgang Härdle & Ostap Okhrin, 2010. "De copulis non est disputandum," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 94(1), pages 1-31, March.
  40. Yong Ma & Zhengjun Zhang & Weiguo Zhang & Weidong Xu, 2015. "Evaluating the Default Risk of Bond Portfolios with Extreme Value Theory," Computational Economics, Springer;Society for Computational Economics, vol. 45(4), pages 647-668, April.
  41. repec:hum:wpaper:sfb649dp2012-054 is not listed on IDEAS
  42. Segers, Johan & Uyttendaele, Nathan, 2013. "Nonparametric estimation of the tree structure of a nested Archimedean copula," LIDAM Discussion Papers ISBA 2013009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  43. Mat'uv{s} Maciak & Ostap Okhrin & Michal Pev{s}ta, 2018. "Dynamic and granular loss reserving with copulae," Papers 1801.01792, arXiv.org.
  44. Amar, Amine & Antonio, Ronald Jeremy S. & Okou, Cyrille Guei & Pede, Valerien O., 2025. "Stochastic modelling of food insecurity risk in Africa: Use of Vine Copulas and cointegration approaches," 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO 360696, Agricultural and Applied Economics Association.
  45. Durante, Fabrizio & Fernández Sánchez, Juan & Sempi, Carlo, 2013. "Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 897-905.
  46. Yuri Salazar Flores & Adán Díaz-Hernández, 2022. "The General Tail Dependence Function in the Marshall-Olkin and Other Parametric Copula Models with an Application to Financial Time Series," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 84(1), pages 146-187, May.
  47. Bücher Axel & Jaser Miriam & Min Aleksey, 2021. "Detecting departures from meta-ellipticity for multivariate stationary time series," Dependence Modeling, De Gruyter, vol. 9(1), pages 121-140, January.
  48. Perreault, Samuel & Duchesne, Thierry & Nešlehová, Johanna G., 2019. "Detection of block-exchangeable structure in large-scale correlation matrices," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 400-422.
  49. Härdle Wolfgang Karl & Okhrin Ostap & Okhrin Yarema, 2013. "Dynamic structured copula models," Statistics & Risk Modeling, De Gruyter, vol. 30(4), pages 361-388, December.
  50. 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.
  51. Górecki, Jan & Hofert, Marius & Okhrin, Ostap, 2021. "Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation," Computational Statistics & Data Analysis, Elsevier, vol. 155(C).
  52. Manner, Hans & Türk, Dennis & Eichler, Michael, 2016. "Modeling and forecasting multivariate electricity price spikes," Energy Economics, Elsevier, vol. 60(C), pages 255-265.
  53. 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.
  54. Perreault, Samuel & Tang, Yanbo & Pan, Ruyi & Reid, Nancy, 2025. "Inference for overparametrized hierarchical Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 210(C).
  55. Okhrin, Ostap & Xu, Ya Fei, 2017. "A comparison study of pricing credit default swap index tranches with convex combination of copulae," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 193-217.
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