A method to obtain new copulas from a given one
By Patricia Mariela Morillas. 2005
116 citations recorded by the source corpus.
Subfields: Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/9ba3352c7843204c5fd35933663cde3e10e293c2
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Claudia Czado
- Eike C. Brechmann
- Kjersti Aas
- Aleksey Min
- Ulf Schepsmeier
- Fabrizio Durante
- Andrew J. Patton
- Carlo Sempi
In Statistics and Probability
- Claudia Czado
- Kjersti Aas
- Aleksey Min
- Eike C. Brechmann
- Daniel Berg
- Fabrizio Durante
- Carlo Sempi
- Stephan Schlüter
Citations in the corpus
- Construction of non-exchangeable bivariate distribution functions (2009, methodology): “For more details about this construction, see also Durante and Sempi (2005), Klement et al. (2005) and Morillas (2005) .”
- Distorted Copulas: Constructions and Tail Dependence (2010, background): “For example, it is well known that M = , while W = cx (see, for example, Morillas, 2005).”
- Models for construction of multivariate dependence – a comparison study (2009, background): “There have been some attempts at constructing more flexible multivariate Archimedean copula extensions, see e.g. Joe (1997); Nelsen (1999); Embrechts et al. (2003); Whelan (2004); Morillas (2005); Savu and Trede (2006).”
- Pair-Copula Constructions of Multivariate Copulas (2010, background): “are considered in [52], while multiplicative Archimedean copulas are proposed in [43, 50].”
- Bayesian inference for multivariate copulas using pair-copula constructions. (2010, background): “…copula constructions such as a hierarchical Archimedean construction (Savu and Trede (2006)), a generalized multiplicative Archimedean construction (Morillas (2005) and Liebscher (2006)), a multiplicative construction of Liebscher (2006), a construction of Koehler and Symanowski (1995) and a…”
- Copula Theory: An Introduction (2010, background): “Such a transformation has originated from the study of distorted probability distribution functions (especially, power distortions), and has been considered by several authors like [3, 18, 42, 52, 54, 73, 85, 112, 113, 150, 146].”
- An empirical analysis of multivariate copula models (2009, methodology): “Examples of generator functions are stated in Morillas (2005).”
- An Overview of the Goodness-of-Fit Test Problem for Copulas (2012, unknown): “Among others, see [57], [94], [67], [82], [69].”