Penalized estimation of hierarchical Archimedean copula-Reference-Cited by-同舟云学术

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Penalized estimation of hierarchical Archimedean copula

Published:2023-11 Issue: Volume: Page:105274
ISSN:0047-259X
Container-title:Journal of Multivariate Analysis
language:en
Short-container-title:Journal of Multivariate Analysis

Author:

Okhrin Ostap^ORCID,Ristig Alexander

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference47 articles.

1. Pair-copula constructions of multiple dependence;Aas;Insurance Math. Econom.,2009

2. Probability density decomposition for conditionally dependent random variables modeled by Vines;Bedford;Ann. Math. Artif. Intell.,2001

3. Vines – A new graphical model for dependent random variables;Bedford;Ann. Statist.,2002

4. Valuation of collateralized debt obligations with hierarchical Archimedean copulae;Choroś-Tomczyk;J. Empir. Financ.,2013

5. Hierarchical Archimedean copulas through multivariate compound distributions;Cossette;Insurance Math. Econom.,2017

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Estimation;SpringerBriefs in Applied Statistics and Econometrics;2024

2. Copula modeling from Abe Sklar to the present day;Journal of Multivariate Analysis;2023-11

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