Sampling from Archimedean copulas

By N. Whelan. 2004

109 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/41808c2f5210133b50cfd99457a61eb4ec4c6c2e

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Citations in the corpus

Impact of copulas for modeling bivariate distributions on system reliability (2013, background): “The second generalization, termed asymmetric [24], uses (N 1) different generators.”
Models for construction of multivariate dependence (2007, background): “2) In this structure, which Whelan (2004) refers to as fully nested, all bivariate margins are themselves Archimedean copulae.”
Asymmetric copula in multivariate flood frequency analysis (2006, background): “[11] and Whelan [32] a generalization of Archimedean 2-copulas can be written in the form called ‘‘fully nested’’:”
Pair-Copula Constructions of Multivariate Copulas (2010, methodology): “In this class we have fully and partially nested Archimedean copulas as discussed in [32, 52, 56 ].”
Multivariate Drought Frequency Analysis using Four-Variate Symmetric and Asymmetric Archimedean Copula Functions (2018, background): “According to Joe (1997), Nelsen (1999), Embrechts et al. (2003), Whelan (2004), and Grimaldi and Serinaldi (2006) the generalization of n-dimensional Archimedean copula could be represented as (Chen et al. 2012): C u1; u2;…:; unð Þ ¼ C1 un;C2 un−1;…:;Cn−1 u2; u1ð Þ…:ð Þð Þ ¼ φ −1½ 1 φ1 unð Þ þ φ1 φ…”
Selecting and estimating regular vine copulae and application to financial returns (2012, background): “mbel copula. Standard Archimedean multivariate copulae can also be asymmetric, but are governed by a single parameter. There has been eﬀort to extend the class of Archimedean copulae (see Joe (1997), Whelan (2004), and Savu and Trede (2010)), however these models require additional parameter restric”