Convergence of Archimedean copulas
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- Charpentier, A. & Segers, J.J.J., 2006. "Convergence of Archimedean Copulas," Discussion Paper 2006-28, Tilburg University, Center for Economic Research.
References listed on IDEAS
- Juri, Alessandro & Wuthrich, Mario V., 2002. "Copula convergence theorems for tail events," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 405-420, June.
- Barbe, Philippe & Genest, Christian & Ghoudi, Kilani & Rémillard, Bruno, 1996. "On Kendall's Process," Journal of Multivariate Analysis, Elsevier, vol. 58(2), pages 197-229, August.
- Charpentier, Arthur & Segers, Johan, 2007.
"Lower tail dependence for Archimedean copulas: Characterizations and pitfalls,"
Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 525-532, May.
- Charpentier, A. & Segers, J.J.J., 2006. "Lower Tail Dependence for Archimedean Copulas : Characterizations and Pitfalls," Discussion Paper 2006-29, Tilburg University, Center for Economic Research.
- Christian Genest & Jean‐François Quessy & Bruno Rémillard, 2006. "Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 337-366, June.
- Charpentier, A. & Segers, J.J.J., 2006. "Lower Tail Dependence for Archimedean Copulas : Characterizations and Pitfalls," Other publications TiSEM ae669e5a-1929-42d9-b137-6, Tilburg University, School of Economics and Management.
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Cited by:
- Włodzimierz Wysocki, 2015. "Kendall's tau and Spearman's rho for n -dimensional Archimedean copulas and their asymptotic properties," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 27(4), pages 442-459, December.
- Charpentier, Arthur & Segers, Johan, 2007.
"Lower tail dependence for Archimedean copulas: Characterizations and pitfalls,"
Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 525-532, May.
- Charpentier, A. & Segers, J.J.J., 2006. "Lower Tail Dependence for Archimedean Copulas : Characterizations and Pitfalls," Discussion Paper 2006-29, Tilburg University, Center for Economic Research.
- Wysocki, Włodzimierz, 2012. "Constructing archimedean copulas from diagonal sections," Statistics & Probability Letters, Elsevier, vol. 82(4), pages 818-826.
- Christian Genest & Johanna Nešlehová & Johanna Ziegel, 2011. "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 223-256, August.
- Wysocki, Włodzimierz, 2013. "When a copula is archimax," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 37-45.
- Henryk Zähle, 2022. "A concept of copula robustness and its applications in quantitative risk management," Finance and Stochastics, Springer, vol. 26(4), pages 825-875, October.
- Constantinescu, Corina & Hashorva, Enkelejd & Ji, Lanpeng, 2011. "Archimedean copulas in finite and infinite dimensions—with application to ruin problems," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 487-495.
- Charpentier, A. & Segers, J.J.J., 2006. "Lower Tail Dependence for Archimedean Copulas : Characterizations and Pitfalls," Other publications TiSEM ae669e5a-1929-42d9-b137-6, Tilburg University, School of Economics and Management.
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More about this item
Keywords
Archimedean copula Generator Kendall distribution function;JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
Statistics
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