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Modeling Multivariate Distributions with Continuous Margins Using the copula R Package

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Cited by:

  1. Okhrin, Ostap & Ristig, Alexander, 2014. "Hierarchical Archimedean Copulae: The HAC Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 58(i04).
  2. Kojadinovic, Ivan & Yan, Jun, 2010. "Nonparametric rank-based tests of bivariate extreme-value dependence," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2234-2249, October.
  3. Monica Billio & Lorenzo Frattarolo & Dominique Guegan, 2017. "Multivariate Reflection Symmetry of Copula Functions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01592147, HAL.
  4. Christine Amsler & Artem Prokhorov & Peter Schmidt, 2014. "Using Copulas to Model Time Dependence in Stochastic Frontier Models," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 497-522, August.
  5. Mike Vuolo, 2017. "Copula Models for Sociology: Measures of Dependence and Probabilities for Joint Distributions," Sociological Methods & Research, , vol. 46(3), pages 604-648, August.
  6. Marcelo Brutti Righi & Paulo Sérgio Ceretta, 2011. "Estimating value at risk and optimal hedge ratio in Latin markets: a copula-based GARCH approach," Economics Bulletin, AccessEcon, vol. 31(2), pages 1717-1730.
  7. Cole, Matthew A. & Elliott, Robert J.R. & Occhiali, Giovanni & Strobl, Eric, 2018. "Power outages and firm performance in Sub-Saharan Africa," Journal of Development Economics, Elsevier, vol. 134(C), pages 150-159.
  8. Song, Zhi & Mukherjee, Amitava & Zhang, Jiujun, 2021. "Some robust approaches based on copula for monitoring bivariate processes and component-wise assessment," European Journal of Operational Research, Elsevier, vol. 289(1), pages 177-196.
  9. Yang Li & Fan Wang & Ye Shen & Yichen Qin & Jiesheng Si, 2022. "Selection of mixed copula for association modeling with tied observations," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(5), pages 1127-1180, December.
  10. Arturo Cortés Aguilar, 2011. "Estimación del residual de un bono respaldado por hipotecas mediante un modelo de riesgo crédito: una comparación de resultados de la teoría de cópulas y el modelo IRB de Basilea II en datos del merca," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 5(1), pages 50-64.
  11. Dongdong Li & X. Joan Hu & Mary L. McBride & John J. Spinelli, 2020. "Multiple event times in the presence of informative censoring: modeling and analysis by copulas," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 26(3), pages 573-602, July.
  12. Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2013. "Estimating non-linear serial and cross-interdependence between financial assets," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 837-846.
  13. Di Bernardino Elena & Rullière Didier, 2013. "On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators," Dependence Modeling, De Gruyter, vol. 1(2013), pages 1-36, October.
  14. Kojadinovic, Ivan & Yan, Jun, 2010. "Comparison of three semiparametric methods for estimating dependence parameters in copula models," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 52-63, August.
  15. Shahid Latif & Slobodan P. Simonovic, 2023. "Trivariate Probabilistic Assessments of the Compound Flooding Events Using the 3-D Fully Nested Archimedean (FNA) Copula in the Semiparametric Distribution Setting," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 37(4), pages 1641-1693, March.
  16. Kiriliouk, Anna & Segers, Johan & Tafakori, Laleh, 2017. "An estimator of the stable tail dependence function based on the empirical beta copula," LIDAM Discussion Papers ISBA 2017028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  17. Einolander, Johannes & Lahdelma, Risto, 2022. "Multivariate copula procedure for electric vehicle charging event simulation," Energy, Elsevier, vol. 238(PA).
  18. Elberg, Christina & Hagspiel, Simeon, 2015. "Spatial dependencies of wind power and interrelations with spot price dynamics," European Journal of Operational Research, Elsevier, vol. 241(1), pages 260-272.
  19. Matsypura, Dmytro & Neo, Emily & Prokhorov, Artem, 2016. "Estimation of Hierarchical Archimedean Copulas as a Shortest Path Problem," Economics Letters, Elsevier, vol. 149(C), pages 131-134.
  20. Kalema, George & Molenberghs, Geert, 2016. "Generating Correlated and/or Overdispersed Count Data: A SAS Implementation," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 70(c01).
  21. Martin Waltz & Abhay Kumar Singh & Ostap Okhrin, 2022. "Vulnerability-CoVaR: investigating the crypto-market," Quantitative Finance, Taylor & Francis Journals, vol. 22(9), pages 1731-1745, September.
  22. Nurulkamal Masseran, 2021. "Modeling the Characteristics of Unhealthy Air Pollution Events: A Copula Approach," IJERPH, MDPI, vol. 18(16), pages 1-18, August.
  23. Gijbels, Irène & Omelka, Marek & Pešta, Michal & Veraverbeke, Noël, 2017. "Score tests for covariate effects in conditional copulas," Journal of Multivariate Analysis, Elsevier, vol. 159(C), pages 111-133.
  24. Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2014. "Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management," Energy Economics, Elsevier, vol. 42(C), pages 332-342.
  25. Berghaus, Betina & Segers, Johan, 2018. "Weak convergence of the weighted empirical beta copula process," Journal of Multivariate Analysis, Elsevier, vol. 166(C), pages 266-281.
  26. Emanuele Bevacqua & Laura Suarez-Gutierrez & Aglaé Jézéquel & Flavio Lehner & Mathieu Vrac & Pascal Yiou & Jakob Zscheischler, 2023. "Advancing research on compound weather and climate events via large ensemble model simulations," Nature Communications, Nature, vol. 14(1), pages 1-16, December.
  27. Kiriliouk, Anna & Segers, Johan & Tafakori, Laleh, 2018. "An estimator of the stable tail dependence function based on the empirical beta copula," LIDAM Discussion Papers ISBA 2018029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  28. Bellini, Tiziano, 2013. "Integrated bank risk modeling: A bottom-up statistical framework," European Journal of Operational Research, Elsevier, vol. 230(2), pages 385-398.
  29. Elena Di Bernardino & Didier Rullière, 2015. "Estimation of multivariate critical layers: Applications to rainfall data," Post-Print hal-00940089, HAL.
  30. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2012. "Evolution of coupled lives' dependency across generations and pricing impact," Carlo Alberto Notebooks 258, Collegio Carlo Alberto.
  31. Federico Pasquale Cortese, 2019. "Tail Dependence in Financial Markets: A Dynamic Copula Approach," Risks, MDPI, vol. 7(4), pages 1-14, November.
  32. F. Marta L. Di Lascio & Andrea Menapace & Maurizio Righetti, 2020. "Joint and conditional dependence modelling of peak district heating demand and outdoor temperature: a copula-based approach," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(2), pages 373-395, June.
  33. Anatolyev, Stanislav & Pyrlik, Vladimir, 2022. "Copula shrinkage and portfolio allocation in ultra-high dimensions," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
  34. Kojadinovic, Jean D. & Segers, Johan & Yan, Yun, 2011. "Large-sample tests of extreme-value dependence for multivariate copulas," LIDAM Discussion Papers ISBA 2011012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  35. Punzo, Antonio & Bagnato, Luca & Maruotti, Antonello, 2018. "Compound unimodal distributions for insurance losses," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 95-107.
  36. Berghaus, Betina & Segers, Johan, 2017. "Weak convergence of the weighted empirical beta copula process," LIDAM Discussion Papers ISBA 2017015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  37. Kim, Jong-Min & Kim, Dong H. & Jung, Hojin, 2020. "Modeling non-normal corporate bond yield spreads by copula," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
  38. Zhu, Junyi & Steiner, Viktor, 2020. "A Joint Top Income and Wealth Distribution," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224651, Verein für Socialpolitik / German Economic Association.
  39. repec:jss:jstsof:39:i09 is not listed on IDEAS
  40. Kathryn Wifvat & John Kumerow & Arkady Shemyakin, 2020. "Copula Model Selection for Vehicle Component Failures Based on Warranty Claims," Risks, MDPI, vol. 8(2), pages 1-15, June.
  41. Ge, Yan & Cai, Ximing & Zhu, Tingju & Ringler, Claudia, 2016. "Drought frequency change: An assessment in northern India plains," Agricultural Water Management, Elsevier, vol. 176(C), pages 111-121.
  42. Shofiqul Islam & Sonia Anand & Jemila Hamid & Lehana Thabane & Joseph Beyene, 2020. "A copula-based method of classifying individuals into binary disease categories using dependent biomarkers," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(4), pages 871-897, December.
  43. Stanislav Anatolyev & Vladimir Pyrlik, 2021. "Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions," CERGE-EI Working Papers wp699, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  44. Sabyasachi Guharay & KC Chang & Jie Xu, 2017. "Robust Estimation of Value-at-Risk through Distribution-Free and Parametric Approaches Using the Joint Severity and Frequency Model: Applications in Financial, Actuarial, and Natural Calamities Domain," Risks, MDPI, vol. 5(3), pages 1-30, July.
  45. S. Mandal & J. Qin & R.M. Pfeiffer, 2023. "Non‐parametric estimation of the age‐at‐onset distribution from a cross‐sectional sample," Biometrics, The International Biometric Society, vol. 79(3), pages 1701-1712, September.
  46. Zhu, Xiaoqian & Wei, Lu & Li, Jianping, 2021. "A two-stage general approach to aggregate multiple bank risks," Finance Research Letters, Elsevier, vol. 40(C).
  47. Jäschke, Stefan, 2014. "Estimation of risk measures in energy portfolios using modern copula techniques," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 359-376.
  48. Guillou, Armelle & Padoan, Simone A. & Rizzelli, Stefano, 2018. "Inference for asymptotically independent samples of extremes," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 114-135.
  49. Karishma Ansaram & Paolo Mazza, 2022. "Dependence structure among carbon markets around the world: New evidence from GARCH-copula analysis," Working Papers 2022-ACF-03, IESEG School of Management.
  50. Zheng, Kedi & Chen, Huiyao & Wang, Yi & Chen, Qixin, 2022. "Data-driven financial transmission right scenario generation and speculation," Energy, Elsevier, vol. 238(PC).
  51. Grazian, Clara & Dalla Valle, Luciana & Liseo, Brunero, 2022. "Approximate Bayesian conditional copulas," Computational Statistics & Data Analysis, Elsevier, vol. 169(C).
  52. Punzo, Antonio & Bagnato, Luca, 2022. "Dimension-wise scaled normal mixtures with application to finance and biometry," Journal of Multivariate Analysis, Elsevier, vol. 191(C).
  53. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2012. "Analysis of the Tail Dependence Structure in the Global Markets: A Pair Copula Construction Approach," Economics Bulletin, AccessEcon, vol. 32(2), pages 1151-1161.
  54. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2012. "Predicting the risk of global portfolios considering the non-linear dependence structures," Economics Bulletin, AccessEcon, vol. 32(1), pages 282-294.
  55. Shouji Fujimoto & Atushi Ishikawa & Takayuki Mizuno, 2022. "Copula-Based Synthetic Data Generation in Firm-Size Variables," The Review of Socionetwork Strategies, Springer, vol. 16(2), pages 479-492, October.
  56. Milan Cisty & Anna Becova & Lubomir Celar, 2016. "Analysis of Irrigation Needs Using an Approach Based on a Bivariate Copula Methodology," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 30(1), pages 167-182, January.
  57. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2011. "Extreme values dependence of risk in Latin American markets," Economics Bulletin, AccessEcon, vol. 31(4), pages 2903-2914.
  58. Kojadinovic, Ivan, 2017. "Some copula inference procedures adapted to the presence of ties," Computational Statistics & Data Analysis, Elsevier, vol. 112(C), pages 24-41.
  59. Vahidin Jeleskovic & Claudio Latini & Zahid I. Younas & Mamdouh A. S. Al-Faryan, 2023. "Optimization of portfolios with cryptocurrencies: Markowitz and GARCH-Copula model approach," Papers 2401.00507, arXiv.org.
  60. Kim, Jong-Min & Jung, Hojin, 2017. "Can asymmetric conditional volatility imply asymmetric tail dependence?," Economic Modelling, Elsevier, vol. 64(C), pages 409-418.
  61. Lacey Michelle R. & Baribault Carl & Ehrlich Melanie, 2013. "Modeling, simulation and analysis of methylation profiles from reduced representation bisulfite sequencing experiments," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 12(6), pages 723-742, December.
  62. Marek Omelka & Šárka Hudecová & Natalie Neumeyer, 2021. "Maximum pseudo‐likelihood estimation based on estimated residuals in copula semiparametric models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(4), pages 1433-1473, December.
  63. Ghislain Verdier, 2024. "Goodness-of-fit procedure for gamma processes," Computational Statistics, Springer, vol. 39(5), pages 2623-2650, July.
  64. Fernández-Durán Juan José & Gregorio-Domínguez María Mercedes, 2023. "Test of bivariate independence based on angular probability integral transform with emphasis on circular-circular and circular-linear data," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-17, January.
  65. 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.
  66. Fang, Y. & Madsen, L., 2013. "Modified Gaussian pseudo-copula: Applications in insurance and finance," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 292-301.
  67. Bologov , Yaroslav, 2013. "A copula-based approach to portfolio credit risk modeling," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 29(1), pages 45-66.
  68. Mangold, Benedikt, 2017. "A multivariate rank test of independence based on a multiparametric polynomial copula," FAU Discussion Papers in Economics 10/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, revised 2017.
  69. Karishma Ansaram & Paolo Mazza, 2024. "Dependence Structure among Carbon Markets around the World: New Evidence from GARCH-Copula Analysis," The Energy Journal, , vol. 45(2), pages 237-260, March.
  70. Enkelejd Hashorva & Simone A. Padoan & Stefano Rizzelli, 2021. "Multivariate extremes over a random number of observations," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(3), pages 845-880, September.
  71. Steiner, Viktor & Zhu, Junyi, 2021. "A joint top income and wealth distribution," Discussion Papers 2021/3, Free University Berlin, School of Business & Economics.
  72. Amir T. Payandeh Najafabadi & Marjan Qazvini & Reza Ofoghi, 2020. "The Impact of Oil and Gold Prices Shock on Tehran Stock Exchange: A Copula Approach," Papers 2001.11275, arXiv.org.
  73. Matthias Neumann & Eduardo Machado Charry & Karin Zojer & Volker Schmidt, 2021. "On Variability and Interdependence of Local Porosity and Local Tortuosity in Porous Materials: a Case Study for Sack Paper," Methodology and Computing in Applied Probability, Springer, vol. 23(2), pages 613-627, June.
  74. Jong-Min Kim & Hyunsu Ju & Yoonsung Jung, 2020. "Copula Approach for Developing a Biomarker Panel for Prediction of Dengue Hemorrhagic Fever," Annals of Data Science, Springer, vol. 7(4), pages 697-712, December.
  75. Steve Hyun & Jimin Lee & Jong-Min Kim & Chulhee Jun, 2019. "What Coins Lead in the Cryptocurrency Market: Using Copula and Neural Networks Models," JRFM, MDPI, vol. 12(3), pages 1-14, August.
  76. Gonzalez-Fernandez, Yasser & Soto, Marta, 2014. "copulaedas: An R Package for Estimation of Distribution Algorithms Based on Copulas," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 58(i09).
  77. Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2013. "Analyzing the dependence structure of various sectors in the Brazilian market: A Pair Copula Construction approach," Economic Modelling, Elsevier, vol. 35(C), pages 199-206.
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