Properties of hierarchical Archimedean copulas
By Ostap Okhrin, Yarema Okhrin, Wolfgang Schmid. 2013
68 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/afffed3f960b3e5f5e764ec51c74472f07da15e8
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- David Ruppert
- M. Janga Reddy
- Goeran Kauermann
- Christian Schellhase
- Poulomi Ganguli
- Mojca Šraj
- Nejc Bezak
- M. Brilly
In Management Science and Operations Research
- David Ruppert
- M. Janga Reddy
- Goeran Kauermann
- Christian Schellhase
- Poulomi Ganguli
- Tatyana Krivobokova
In Statistics and Probability
- Goeran Kauermann
- David Ruppert
- Christian Schellhase
- M. Janga Reddy
- Poulomi Ganguli
- Simon N. Wood
- Robert Tibshirani
- Paulo Cortez
Citations in the corpus
- Flexible Copula Density Estimation with Penalized Hierarchical B‐splines (2013, methodology): “This includes, inter alia, hierarchical modelling of Archimedean copulas as suggested in Okhrin et al. (2009) and Savu & Trede (2010).”
- Probabilistic assessment of flood risks using trivariate copulas (2012, methodology): “For bivariate Archimedean copulas, an explicit expression for KCθ̂ is available; though for FNA structure, the form of Kendall distribution function is complex as shown by Okhrin et al. (2009).”