A new bivariate Archimedean copula with application to the evaluation of VaR

DOI10.1515/snde-2019-0096OpenAlexW3114963464MaRDI QIDQ2700544

Pranesh Kumar, Cigdem Topcu Guloksuz

Publication date: 27 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2019-0096

zbMATH Keywords

Monte Carlo simulationArchimedean copulastock pricesdependencevalue at riskgenerator function

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Uses Software

• QRM

Cites Work

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• Coherent Measures of Risk
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• Bivariate Exponential Distributions
• A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
• Inferences on the Association Parameter in Copula Models for Bivariate Survival Data
• Modelling sample selection using Archimedean copulas
• The Use of Archimedean Copulas to Model Portfolio Allocations
• A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
• Understanding Relationships Using Copulas

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