Hierarchical Archimedean copulas through multivariate compound distributions
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DOI: 10.1016/j.insmatheco.2017.06.001
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References listed on IDEAS
- 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.
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- 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.
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Cited by:
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- Ressel Paul, 2018. "A multivariate version of Williamson’s theorem, ℓ-symmetric survival functions, and generalized Archimedean copulas," Dependence Modeling, De Gruyter, vol. 6(1), pages 356-368, December.
- Savinov, Evgeniy & Shamraeva, Victoria, 2023. "On a Rosenblatt-type transformation of multivariate copulas," Econometrics and Statistics, Elsevier, vol. 25(C), pages 39-48.
- 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.
- Cossette, Hélène & Marceau, Etienne & Mtalai, Itre, 2019. "Collective risk models with dependence," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 153-168.
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Keywords
Archimedean copulas; Mixing random variables; Compounding; Marshall–Olkin; Hierarchical structure;All these keywords.
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