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Multivariate Distributions from Mixtures of Max-Infinitely Divisible Distributions

Citations

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Cited by:

  1. Mai, Jan-Frederik & Scherer, Matthias, 2012. "H-extendible copulas," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 151-160.
  2. Joe, Harry & Ma, Chunsheng, 2000. "Multivariate Survival Functions with a Min-Stable Property," Journal of Multivariate Analysis, Elsevier, vol. 75(1), pages 13-35, October.
  3. Meinel, Nina, 2007. "Untersuchung asymptotischer Eigenschaften von Schätzern diskreter bivariater Copula Modelle mit Kovariablen," Discussion Papers 82/2007, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
  4. Cossette, Hélène & Marceau, Etienne & Mtalai, Itre & Veilleux, Déry, 2018. "Dependent risk models with Archimedean copulas: A computational strategy based on common mixtures and applications," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 53-71.
  5. Ferreiro Javier Ojea, 2019. "Structural change in the link between oil and the European stock market: implications for risk management," Dependence Modeling, De Gruyter, vol. 7(1), pages 53-125, January.
  6. Wang, Fan & Li, Heng & Dong, Chao, 2021. "Understanding near-miss count data on construction sites using greedy D-vine copula marginal regression," Reliability Engineering and System Safety, Elsevier, vol. 213(C).
  7. Capéraà, Philippe & Fougères, Anne-Laure & Genest, Christian, 2000. "Bivariate Distributions with Given Extreme Value Attractor," Journal of Multivariate Analysis, Elsevier, vol. 72(1), pages 30-49, January.
  8. Barthel, Nicole & Geerdens, Candida & Killiches, Matthias & Janssen, Paul & Czado, Claudia, 2018. "Vine copula based likelihood estimation of dependence patterns in multivariate event time data," Computational Statistics & Data Analysis, Elsevier, vol. 117(C), pages 109-127.
  9. Shogo Kato & Toshinao Yoshiba & Shinto Eguchi, 2022. "Copula-based measures of asymmetry between the lower and upper tail probabilities," Statistical Papers, Springer, vol. 63(6), pages 1907-1929, December.
  10. Mendoza-Velázquez, Alfonso & Galvanovskis, Evalds, 2009. "Introducing the GED-Copula with an application to Financial Contagion in Latin America," MPRA Paper 46669, University Library of Munich, Germany, revised 01 Feb 2010.
  11. Charpentier, A. & Fougères, A.-L. & Genest, C. & Nešlehová, J.G., 2014. "Multivariate Archimax copulas," Journal of Multivariate Analysis, Elsevier, vol. 126(C), pages 118-136.
  12. Moshe Kelner & Zinoviy Landsman & Udi E. Makov, 2021. "Compound Archimedean Copulas," International Journal of Statistics and Probability, Canadian Center of Science and Education, vol. 10(3), pages 126-126, June.
  13. Shi, Peng & Valdez, Emiliano A., 2014. "Multivariate negative binomial models for insurance claim counts," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 18-29.
  14. Ojea Ferreiro, Javier, 2020. "Disentangling the role of the exchange rate in oil-related scenarios for the European stock market," Energy Economics, Elsevier, vol. 89(C).
  15. Hofert, Marius, 2011. "Efficiently sampling nested Archimedean copulas," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 57-70, January.
  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. Harry Joe & Haijun Li, 2011. "Tail Risk of Multivariate Regular Variation," Methodology and Computing in Applied Probability, Springer, vol. 13(4), pages 671-693, December.
  18. Sepanski, Jungsywan H., 2020. "A note on distortion effects on the strength of bivariate copula tail dependence," Statistics & Probability Letters, Elsevier, vol. 166(C).
  19. Roman Matkovskyy, 2019. "Extremal Economic (Inter)Dependence Studies: A Case of the Eastern European Countries," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(3), pages 667-698, September.
  20. Li, Haijun, 2009. "Orthant tail dependence of multivariate extreme value distributions," Journal of Multivariate Analysis, Elsevier, vol. 100(1), pages 243-256, January.
  21. Su, Jianxi & Hua, Lei, 2017. "A general approach to full-range tail dependence copulas," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 49-64.
  22. Szego, Giorgio, 2005. "Measures of risk," European Journal of Operational Research, Elsevier, vol. 163(1), pages 5-19, May.
  23. Candida Geerdens & Gerda Claeskens & Paul Janssen, 2016. "Copula based flexible modeling of associations between clustered event times," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 22(3), pages 363-381, July.
  24. Aristidis Nikoloulopoulos & Dimitris Karlis, 2010. "Regression in a copula model for bivariate count data," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(9), pages 1555-1568.
  25. Nikoloulopoulos, Aristidis K. & Joe, Harry & Li, Haijun, 2012. "Vine copulas with asymmetric tail dependence and applications to financial return data," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3659-3673.
  26. Kunlapath Sukcharoen & David Leatham, 2018. "Analyzing Extreme Comovements in Agricultural and Energy Commodity Markets Using a Regular Vine Copula Method," International Journal of Energy Economics and Policy, Econjournals, vol. 8(5), pages 193-201.
  27. 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.
  28. Fadal Abdullah-A Aldhufairi & Ranadeera G.M. Samanthi & Jungsywan H. Sepanski, 2020. "New Families of Bivariate Copulas via Unit Lomax Distortion," Risks, MDPI, vol. 8(4), pages 1-19, October.
  29. Ngo Thai HUNG, 2020. "Conditional dependence between oil prices and CEE stock markets: a copula-GARCH approach Abstract: This study investigates both the constant and time-varying conditional dependency between crude oil a," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 11, pages 62-86, June.
  30. Bai, Xiwen & Lam, Jasmine Siu Lee, 2019. "A copula-GARCH approach for analyzing dynamic conditional dependency structure between liquefied petroleum gas freight rate, product price arbitrage and crude oil price," Energy Economics, Elsevier, vol. 78(C), pages 412-427.
  31. Hua, Lei & Joe, Harry, 2011. "Tail order and intermediate tail dependence of multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 102(10), pages 1454-1471, November.
  32. Hua, Lei, 2015. "Tail negative dependence and its applications for aggregate loss modeling," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 135-145.
  33. Ki-Hong Choi & Insin Kim, 2021. "Co-Movement between Tourist Arrivals of Inbound Tourism Markets in South Korea: Applying the Dynamic Copula Method Using Secondary Time Series Data," Sustainability, MDPI, vol. 13(3), pages 1-13, January.
  34. Hua, Lei & Joe, Harry, 2012. "Tail comonotonicity: Properties, constructions, and asymptotic additivity of risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 492-503.
  35. Koliai, Lyes, 2016. "Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 1-22.
  36. Paul Janssen & Luc Duchateau, 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 271-275, August.
  37. Luo, Ming & Wu, Shaomin, 2018. "A mean-variance optimisation approach to collectively pricing warranty policies," International Journal of Production Economics, Elsevier, vol. 196(C), pages 101-112.
  38. Mendoza, Alfonso. & Galvanovskis, Evalds., 2014. "La cópula GED bivariada. Una aplicación en entornos de crisis," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(323), pages .721-746, julio-sep.
  39. Bouye, Eric & Durlleman, Valdo & Nikeghbali, Ashkan & Riboulet, Gaël & Roncalli, Thierry, 2000. "Copulas for finance," MPRA Paper 37359, University Library of Munich, Germany.
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