A stochastic representation and sampling algorithm for nested Archimedean copulas

By Marius Hofert. 2012

52 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d8bb264f70a660ba5eb72aff7427723d83655cc6

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Marius Hofert
2. Paul Embrechts
3. Andrew J. Patton
4. William T. Ziemba
5. Yanqin Fan
6. Xiaohong Chen
7. Fabrizio Durante
8. Artem Prokhorov

In Finance

1. Marius Hofert
2. Paul Embrechts
3. Andrew J. Patton
4. Eike C. Brechmann
5. Claudia Czado
6. Kjersti Aas
7. Yanqin Fan
8. William T. Ziemba

Citations in the corpus

• Statistics and Quantitative Risk Management for Banking and Insurance (2014, background): “For the Gumbel copula, an explicit form for (−1)dψ(d) has only recently been found; see Hofert et al. (2012). The formula is (−1)dψ(d)(t) = ψ(t) td d ∑ k=1 adk(α)t, adk(α) = (−1)d−k d ∑ j=k αs(d, j)S(j, k) = d! k! k ∑ j=1 ( k j )( αj d ) (−1)d−j, where α = 1/θ ∈ (0, 1] and s and S denote the Stirlin”