IDEAS home Printed from https://ideas.repec.org/a/eee/csdana/v51y2006i3p1822-1839.html
   My bibliography  Save this article

Construction of bivariate S-distributions with copulas

Author

Listed:
  • Yu, Lining
  • Voit, Eberhard O.

Abstract

No abstract is available for this item.

Suggested Citation

  • Yu, Lining & Voit, Eberhard O., 2006. "Construction of bivariate S-distributions with copulas," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1822-1839, December.
    • Handle: RePEc:eee:csdana:v:51:y:2006:i:3:p:1822-1839
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-9473(05)00314-2
    Download Restriction: Full text for ScienceDirect subscribers only.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Murray D. Smith, 2003. "Modelling sample selection using Archimedean copulas," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 99-123, June.
    2. M. Genius & E. Strazzera, 2003. "The copula approach of sampling selection modelling: an application to the recreational value of forests," Working Paper CRENoS 200308, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    3. Elisabetta Strazzera & Margarita Genius, 2004. "The Copula Approach to Sample Selection Modelling: An Application to the Recreational Value of Forests," Working Papers 2004.73, Fondazione Eni Enrico Mattei.
    4. Rosenberg, Joshua V. & Schuermann, Til, 2006. "A general approach to integrated risk management with skewed, fat-tailed risks," Journal of Financial Economics, Elsevier, vol. 79(3), pages 569-614, March.
    5. Joe, H., 1993. "Parametric Families of Multivariate Distributions with Given Margins," Journal of Multivariate Analysis, Elsevier, vol. 46(2), pages 262-282, August.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Romera, Rosario & Molanes, Elisa M., 2008. "Copulas in finance and insurance," DES - Working Papers. Statistics and Econometrics. WS ws086321, Universidad Carlos III de Madrid. Departamento de Estadística.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kostov, Philip & Patton, Myles & Moss, Joan E. & McErlean, Seamus, 2005. "Does Gibrat's Law Hold Amongst Dairy Farmers in Northern Ireland?," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24775, European Association of Agricultural Economists.
    2. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
    3. Dalla Valle Luciana, 2016. "The Use of Official Statistics in Self-Selection Bias Modeling," Journal of Official Statistics, Sciendo, vol. 32(4), pages 887-905, December.
    4. Casey Quinn, 2005. "Generalisable regression methods for costeffectiveness using copulas," Health, Econometrics and Data Group (HEDG) Working Papers 05/13, HEDG, c/o Department of Economics, University of York.
    5. Bedoui, Rihab & Braiek, Sana & Guesmi, Khaled & Chevallier, Julien, 2019. "On the conditional dependence structure between oil, gold and USD exchange rates: Nested copula based GJR-GARCH model," Energy Economics, Elsevier, vol. 80(C), pages 876-889.
    6. Manuel Arellano & Stéphane Bonhomme, 2017. "Quantile Selection Models With an Application to Understanding Changes in Wage Inequality," Econometrica, Econometric Society, vol. 85, pages 1-28, January.
    7. Zhang, Dalu, 2014. "Vine copulas and applications to the European Union sovereign debt analysis," International Review of Financial Analysis, Elsevier, vol. 36(C), pages 46-56.
    8. 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.
    9. Wanling Huang & Artem Prokhorov, 2014. "A Goodness-of-fit Test for Copulas," Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 751-771, October.
    10. Terence C. Cheng & Pravin K. Trivedi, 2015. "Attrition Bias in Panel Data: A Sheep in Wolf's Clothing? A Case Study Based on the Mabel Survey," Health Economics, John Wiley & Sons, Ltd., vol. 24(9), pages 1101-1117, September.
    11. Ozonder, Gozde & Miller, Eric J., 2021. "Longitudinal investigation of skeletal activity episode timing decisions – A copula approach," Journal of choice modelling, Elsevier, vol. 40(C).
    12. Azam, Kazim & Pitt, Michael, 2014. "Bayesian Inference for a Semi-Parametric Copula-based Markov Chain," The Warwick Economics Research Paper Series (TWERPS) 1051, University of Warwick, Department of Economics.
    13. McGovern, Mark E. & Canning, David & Bärnighausen, Till, 2018. "Accounting for non-response bias using participation incentives and survey design: An application using gift vouchers," Economics Letters, Elsevier, vol. 171(C), pages 239-244.
    14. Dragana Radicic & Geoffrey Pugh & Hugo Hollanders & René Wintjes & Jon Fairburn, 2016. "The impact of innovation support programs on small and medium enterprises innovation in traditional manufacturing industries: An evaluation for seven European Union regions," Environment and Planning C, , vol. 34(8), pages 1425-1452, December.
    15. Y. Malevergne & D. Sornette, 2003. "Testing the Gaussian copula hypothesis for financial assets dependences," Quantitative Finance, Taylor & Francis Journals, vol. 3(4), pages 231-250.
    16. Breuer, Thomas & Jandacka, Martin & Rheinberger, Klaus & Summer, Martin, 2010. "Does adding up of economic capital for market- and credit risk amount to conservative risk assessment?," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 703-712, April.
    17. Paola Palmitesta & Corrado Provasi, 2005. "Aggregation of Dependent Risks Using the Koehler–Symanowski Copula Function," Computational Economics, Springer;Society for Computational Economics, vol. 25(1), pages 189-205, February.
    18. Ekaterina Selezneva & Philippe Van Kerm, 2016. "A distribution-sensitive examination of the gender wage gap in Germany," The Journal of Economic Inequality, Springer;Society for the Study of Economic Inequality, vol. 14(1), pages 21-40, March.
    19. Conti, Gabriella & Poupakis, Stavros & Ekamper, Peter & Bijwaard, Govert E. & Lumey, L.H., 2024. "Severe prenatal shocks and adolescent health: Evidence from the Dutch Hunger Winter," Economics & Human Biology, Elsevier, vol. 53(C).
    20. Nabil Kazi-Tani & Didier Rullière, 2019. "On a construction of multivariate distributions given some multidimensional marginals," Post-Print hal-01575169, HAL.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:51:y:2006:i:3:p:1822-1839. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/csda .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.