The Use of Archimedean Copulas to Model Portfolio Allocations

By D. Hennessy, Harvey E. Lapan. 2002

95 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Global and Planetary Change

View Paper: https://www.semanticscholar.org/paper/de4661e861b36e1732c1f85bf93b23b320b2f6be

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Citations in the corpus

Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005, methodology): “and Kotz (2001), Hutchinson and Lai (1990) and Joe (1997). Let us also mention the book by Cherubini, Luciano and Vecchiato (2004) on copula methods in finance. Vaz de Melo Mendes and Martins de Souza (2004) point to potential applications of copulas in measuring financial risk.”
Goodness-of-fit Procedures for Copula Models Based on the Integral Probability Transformation (2003, methodology): “For recent applications of copula models in biostatistics, actuarial science and finance, see for instance Frees & Valdez (1998), Klugman & Parsa (1999), Bandeen-Roche & Liang (2002), Cherubini & Luciano (2002), Hennessy & Lapan (2002) , and Lambert & Vandenhende (2002).”
Archimedean copulae and positive dependence (2005, background): “In the literature on financial mathematics they have been considered in [11,18].”
The Euro and European Financial Market Dependence (2007, background): “…in various finance applications, such as modeling default correlations for credit risk management (Li, 2000), modeling portfolio allocations (Hennessy and Lapan, 2002), pricing foreign exchange rate quanto options (Bennett and Kennedy, 2003), pricing multivariate contingent claims…”
Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation (2006, methodology): “Comparison with the test of Shih for the Clayton family Clayton’s copula is often referred to as the gamma frailty model in the survival analysis literature. For this specific choice of null hypothesis, two goodness-of-fit tests are already available, which were developed by Shih (1998) in the bivar”