Supermodular dependence ordering on a class of multivariate copulas

By G. Wei, Taizhong Hu. 2002

57 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/fee4157c2faa684166f9a3712d95170cd92ac31f

How researchers see this paper

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

In Finance

1. Johana Nešlehová
2. Christian Genest
3. J. Ziegel
4. Fabrizio Durante
5. Andrew J. Patton
6. Claudia Czado
7. Aristidis K. Nikoloulopoulos
8. G. Salvadori

In Management Science and Operations Research

1. Christian Genest
2. Johana Nešlehová
3. J. Ziegel
4. Aristidis K. Nikoloulopoulos
5. Dimitris Karlis
6. Fabrizio Durante
7. Paul Embrechts
8. Bruno R'emillard

In Statistics and Probability

1. Johana Nešlehová
2. J. Ziegel
3. Christian Genest
4. Aristidis K. Nikoloulopoulos
5. Anne-Catherine Favre
6. Jun Yan
7. G. Salvadori
8. Carlo De Michele

Citations in the corpus

• Inference in multivariate Archimedean copula models (2011, background): “However, it is still unclear how the distributional properties of R relate to earlier results on classical stochastic orderings of Archimedean copulas; see, e.g., Genest and MacKay (1986), Caperaa and Genest (1993), Wei and Hu (2002) or Muller and Scarsini (2005) and references therein.”
• On dependence consistency of CoVaR and some other systemic risk measures (2012, unknown): “8 also holds for Galambos copulas with dependence parameters θ ≤ θ󸀠; see Wei and Hu (2002) for C θ ⪯ sm C θ 󸀠 in this case.”