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A method to obtain new copulas from a given one

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Cited by:

  1. Lin, Feng & Peng, Liang & Xie, Jiehua & Yang, Jingping, 2018. "Stochastic distortion and its transformed copula," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 148-166.
  2. Dominique Guegan & Bertrand Hassani, 2011. "Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach," Documents de travail du Centre d'Economie de la Sorbonne 11017rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2012.
  3. Dalla Valle, Luciana & De Giuli, Maria Elena & Tarantola, Claudia & Manelli, Claudio, 2016. "Default probability estimation via pair copula constructions," European Journal of Operational Research, Elsevier, vol. 249(1), pages 298-311.
  4. Mesfioui, Mhamed & Quessy, Jean-François, 2008. "Dependence structure of conditional Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 372-385, March.
  5. Elena Di Bernardino & Didier Rullière, 2017. "A note on upper-patched generators for Archimedean copulas," Post-Print hal-01347869, HAL.
  6. 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.
  7. José Rodríguez-Lallena & Manuel Úbeda-Flores, 2010. "Multivariate copulas with quadratic sections in one variable," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 72(3), pages 331-349, November.
  8. Fabrizio Durante, 2009. "Construction of non-exchangeable bivariate distribution functions," Statistical Papers, Springer, vol. 50(2), pages 383-391, March.
  9. Durante Fabrizio & Fernández-Sánchez Juan & Trutschnig Wolfgang, 2014. "Solution to an open problem about a transformation on the space of copulas," Dependence Modeling, De Gruyter, vol. 2(1), pages 1-8, November.
  10. Girard Stéphane, 2018. "Transformation of a copula using the associated co-copula," Dependence Modeling, De Gruyter, vol. 6(1), pages 298-308, December.
  11. Amjad, Muhammad & Akbar, Muhammad & Ullah, Hamd, 2022. "A copula-based approach for creating an index of micronutrient intakes at household level in Pakistan," Economics & Human Biology, Elsevier, vol. 46(C).
  12. A. Dolati & M. Amini & S. Mirhosseini, 2014. "Dependence properties of bivariate distributions with proportional (reversed) hazards marginals," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 77(3), pages 333-347, April.
  13. Matthias Fischer & Christian Köck, 2007. "Multivariate Copula Models at Work: Dependence Structure of Energie Prices," Energy and Environmental Modeling 2007 24000014, EcoMod.
  14. Fabrizio Durante & Marius Hofert & Matthias Scherer, 2010. "Multivariate Hierarchical Copulas with Shocks," Methodology and Computing in Applied Probability, Springer, vol. 12(4), pages 681-694, December.
  15. Härdle, Wolfgang Karl & Okhrin, Ostap & Okhrin, Yarema, 2008. "Modeling dependencies in finance using copulae," SFB 649 Discussion Papers 2008-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  16. Jean-David Fermanian, 2012. "An overview of the goodness-of-fit test problem for copulas," Papers 1211.4416, arXiv.org.
  17. 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.
  18. Fischer, Matthias J. & Köck, Christian & Schlüter, Stephan & Weigert, Florian, 2007. "Multivariate Copula Models at Work: Outperforming the desert island copula?," Discussion Papers 79/2007, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
  19. Fischer, Matthias J. & Köck, Christian, 2007. "Constructing and generalizing multivariate copulas: a generalizing approach," Discussion Papers 80/2007, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
  20. André, L.M. & Wadsworth, J.L. & O'Hagan, A., 2024. "Joint modelling of the body and tail of bivariate data," Computational Statistics & Data Analysis, Elsevier, vol. 189(C).
  21. Farid El Ktaibi & Rachid Bentoumi & Mhamed Mesfioui, 2024. "On the Ratio-Type Family of Copulas," Mathematics, MDPI, vol. 12(11), pages 1-17, June.
  22. Crane, Glenis & van der Hoek, John, 2008. "Using distortions of copulas to price synthetic CDOs," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 903-908, June.
  23. Jorge Navarro & Camilla Calì & Maria Longobardi & Fabrizio Durante, 2022. "Distortion representations of multivariate distributions," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(4), pages 925-954, October.
  24. Di Bernardino Elena & Rullière Didier, 2016. "On an asymmetric extension of multivariate Archimedean copulas based on quadratic form," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-20, December.
  25. Dominique Guegan & Bertrand Hassani, 2012. "Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach," Post-Print halshs-00587706, HAL.
  26. Martial Longla, 2024. "New copula families and mixing properties," Statistical Papers, Springer, vol. 65(7), pages 4331-4363, September.
  27. Pedro Antonio Martín Cervantes & Salvador Cruz Rambaud & María del Carmen Valls Martínez, 2020. "An Application of the SRA Copulas Approach to Price-Volume Research," Mathematics, MDPI, vol. 8(11), pages 1-28, October.
  28. Elena Di Bernardino & Didier Rullière, 2016. "On tail dependence coefficients of transformed multivariate Archimedean copulas," Post-Print hal-00992707, HAL.
  29. Roger J. Jiao & Feng Zhou & Chih-Hsing Chu, 2017. "Decision theoretic modeling of affective and cognitive needs for product experience engineering: key issues and a conceptual framework," Journal of Intelligent Manufacturing, Springer, vol. 28(7), pages 1755-1767, October.
  30. Zhou, Rui & Ji, Min, 2021. "Modelling mortality dependence: An application of dynamic vine copula," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 241-255.
  31. Fadal A.A. Aldhufairi & Jungsywan H. Sepanski, 2020. "New families of bivariate copulas via unit weibull distortion," Journal of Statistical Distributions and Applications, Springer, vol. 7(1), pages 1-20, December.
  32. Elena Di Bernardino & Didier Rullière, 2016. "A note on upper-patched generators for Archimedean copulas," Working Papers hal-01347869, HAL.
  33. Sepanski, Jungsywan H., 2020. "A note on distortion effects on the strength of bivariate copula tail dependence," Statistics & Probability Letters, Elsevier, vol. 166(C).
  34. Mai Jan-Frederik & Scherer Matthias, 2013. "What makes dependence modeling challenging? Pitfalls and ways to circumvent them," Statistics & Risk Modeling, De Gruyter, vol. 30(4), pages 287-306, December.
  35. Sabrina Mulinacci, 2018. "Archimedean-based Marshall-Olkin Distributions and Related Dependence Structures," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 205-236, March.
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