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Nested Archimedean Copulas Meet R: The nacopula Package

Citations

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Cited by:

  1. Xia Li, 2024. "RETRACTED ARTICLE: Unveiling Portfolio Resilience: Harnessing Asymmetric Copulas for Dynamic Risk Assessment in the Knowledge Economy," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(3), pages 10200-10226, September.
  2. Göran Kauermann & Renate Meyer, 2014. "Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas," Computational Statistics, Springer, vol. 29(1), pages 283-306, February.
  3. Uyttendaele, Nathan, 2016. "On the estimation of nested Archimedean copulas: A theoretical and an experimental comparison," LIDAM Discussion Papers ISBA 2016005, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  4. 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.
  5. 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.
  6. Hofert, Marius & Pham, David, 2013. "Densities of nested Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 118(C), pages 37-52.
  7. Grothe Oliver & Rieger Jonas, 2024. "Decomposition and graphical correspondence analysis of checkerboard copulas," Dependence Modeling, De Gruyter, vol. 12(1), pages 1-31.
  8. Anatolyev, Stanislav & Pyrlik, Vladimir, 2022. "Copula shrinkage and portfolio allocation in ultra-high dimensions," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
  9. 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.
  10. Sydney Benson & Regina Burroughs & Vladimir Ladyzhets & Jessica Mohr & Arkady Shemyakin & David Walczak & Huan Zhang, 2020. "Copula models of economic capital for life insurance companies," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 32-54.
  11. Stanislav Anatolyev & Vladimir Pyrlik, 2021. "Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions," CERGE-EI Working Papers wp699, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  12. Jeremiah Richey & Alicia Rosburg, 2018. "Decomposing economic mobility transition matrices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(1), pages 91-108, January.
  13. 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.
  14. 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).
  15. Shouji Fujimoto & Atushi Ishikawa & Takayuki Mizuno, 2022. "Copula-Based Synthetic Data Generation in Firm-Size Variables," The Review of Socionetwork Strategies, Springer, vol. 16(2), pages 479-492, October.
  16. 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.
  17. Jennifer L. Wadsworth, 2015. "On the occurrence times of componentwise maxima and bias in likelihood inference for multivariate max-stable distributions," Biometrika, Biometrika Trust, vol. 102(3), pages 705-711.
  18. Perreault, Samuel & Tang, Yanbo & Pan, Ruyi & Reid, Nancy, 2025. "Inference for overparametrized hierarchical Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 210(C).
  19. Mangold, Benedikt, 2017. "A multivariate rank test of independence based on a multiparametric polynomial copula," FAU Discussion Papers in Economics 10/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, revised 2017.
  20. Zhou, Yuming & Cheng, Qixiu & Zhang, Chi & Luo, Ming & Liu, Zhiyuan, 2026. "Stochastic fundamental diagram modeling using asymmetric vine and nested Archimedean copulas," Transportation Research Part B: Methodological, Elsevier, vol. 203(C).
  21. Bedoui, Rihab & Braeik, Sana & Goutte, Stéphane & Guesmi, Khaled, 2018. "On the study of conditional dependence structure between oil, gold and USD exchange rates," International Review of Financial Analysis, Elsevier, vol. 59(C), pages 134-146.
  22. 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.
  23. Cole, Matthew A. & Elliott, Robert J.R. & Occhiali, Giovanni & Strobl, Eric, 2018. "Power outages and firm performance in Sub-Saharan Africa," Journal of Development Economics, Elsevier, vol. 134(C), pages 150-159.
  24. Marta Disegna & Fabrizio Durante & Enrico Foscolo, 2013. "A multivariate nonlinear analysis of tourism expenditures," BEMPS - Bozen Economics & Management Paper Series BEMPS10, Faculty of Economics and Management at the Free University of Bozen.
  25. Dongdong Li & X. Joan Hu & Mary L. McBride & John J. Spinelli, 2020. "Multiple event times in the presence of informative censoring: modeling and analysis by copulas," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 26(3), pages 573-602, July.
  26. Li, Xinming & Hossein Rashidi, Taha & Koo, Tay T.R., 2023. "Tourists’ travel mode and length of stay: Application of a fully nested Archimedean copula structure," Transportation Research Part A: Policy and Practice, Elsevier, vol. 172(C).
  27. Einolander, Johannes & Lahdelma, Risto, 2022. "Multivariate copula procedure for electric vehicle charging event simulation," Energy, Elsevier, vol. 238(PA).
  28. Wu, Fei & Xiao, Xuanqi & Zhou, Xinyu & Zhang, Dayong & Ji, Qiang, 2022. "Complex risk contagions among large international energy firms: A multi-layer network analysis," Energy Economics, Elsevier, vol. 114(C).
  29. Dazhi Xi & Ning Lin & Avantika Gori, 2023. "Increasing sequential tropical cyclone hazards along the US East and Gulf coasts," Nature Climate Change, Nature, vol. 13(3), pages 258-265, March.
  30. Nuño Martinez, Edgar & Cutululis, Nicolaos & Sørensen, Poul, 2018. "High dimensional dependence in power systems: A review," Renewable and Sustainable Energy Reviews, Elsevier, vol. 94(C), pages 197-213.
  31. Awondo, Sebastain N., 2019. "Efficiency of region-wide catastrophic weather risk pools: Implications for African Risk Capacity insurance program," Journal of Development Economics, Elsevier, vol. 136(C), pages 111-118.
  32. 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).
  33. Dodo Natatou Moutari & Hassane Abba Mallam & Diakarya Barro & Bisso Saley, 2021. "Dependence Modeling and Risk Assessment of a Financial Portfolio with ARMA-APARCH-EVT models based on HACs," Papers 2105.09473, arXiv.org.
  34. Pieter Schoonees & Michel Velden & Patrick Groenen, 2015. "Constrained Dual Scaling for Detecting Response Styles in Categorical Data," Psychometrika, Springer;The Psychometric Society, vol. 80(4), pages 968-994, December.
  35. Bojan Basrak & Darko Brborović, 2024. "Permutation test of tail dependence," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 33(1), pages 89-129, March.
  36. Kathryn Wifvat & John Kumerow & Arkady Shemyakin, 2020. "Copula Model Selection for Vehicle Component Failures Based on Warranty Claims," Risks, MDPI, vol. 8(2), pages 1-15, June.
  37. Ge, Yan & Cai, Ximing & Zhu, Tingju & Ringler, Claudia, 2016. "Drought frequency change: An assessment in northern India plains," Agricultural Water Management, Elsevier, vol. 176(C), pages 111-121.
  38. Shofiqul Islam & Sonia Anand & Jemila Hamid & Lehana Thabane & Joseph Beyene, 2020. "A copula-based method of classifying individuals into binary disease categories using dependent biomarkers," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(4), pages 871-897, December.
  39. Jonas Schmitt & Frank Offermann & Andreia F. S. Ribeiro & Robert Finger, 2024. "Drought risk management in agriculture: A copula perspective on crop diversification," Agricultural Economics, International Association of Agricultural Economists, vol. 55(5), pages 823-847, September.
  40. repec:ags:aaea17:258566 is not listed on IDEAS
  41. Lo, Simon M.S. & Shi, Shuolin & Wilke, Ralf A., 2025. "A copula duration model with dependent states and spells," Computational Statistics & Data Analysis, Elsevier, vol. 204(C).
  42. repec:hum:wpaper:sfb649dp2012-036 is not listed on IDEAS
  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. Elena Di Bernardino & Didier Rullière, 2016. "On an asymmetric extension of multivariate Archimedean copulas based on quadratic form," Working Papers hal-01147778, HAL.
  45. Hofert, Marius & Vrins, Frédéric, 2013. "Sibuya copulas," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 318-337.
  46. 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.
  47. Lo, Simon M.S. & Mammen, Enno & Wilke, Ralf A., 2020. "A nested copula duration model for competing risks with multiple spells," Computational Statistics & Data Analysis, Elsevier, vol. 150(C).
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