Editorial for the special issue on dependence models
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Publication:2001080
DOI10.1016/j.jmva.2019.03.009zbMath1415.00021OpenAlexW2929535653MaRDI QIDQ2001080
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Publication date: 2 July 2019
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2019.03.009
Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Proceedings of conferences of miscellaneous specific interest (00B25) Multivariate analysis (62Hxx)
Cites Work
- Copula-based dynamic models for multivariate time series
- A framework for measuring association of random vectors via collapsed random variables
- Dependence in a background risk model
- Partially Schur-constant models
- Composite likelihood estimation method for hierarchical Archimedean copulas defined with multivariate compound distributions
- Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition
- Model assessment for time series dynamics using copula spectral densities: a graphical tool
- Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
- Geometry of discrete copulas
- Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
- Adjustable network reconstruction with applications to CDS exposures
- Reconstructing the topology of financial networks from degree distributions and reciprocity
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