Comments on: Inference in multivariate Archimedean copula models

DOI10.1007/S11749-011-0251-5zbMath1367.62170OpenAlexW2091702381MaRDI QIDQ1761524

Emiliano A. Valdez

Publication date: 15 November 2012

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-011-0251-5

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Cites Work

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• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Modelling dynamic portfolio risk using risk drivers of elliptical processes
• On the distortion of a copula and its margins
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Understanding Relationships Using Copulas

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