Multivariate hierarchical copulas with shocks

DOI10.1007/s11009-009-9134-6zbMath1201.62063OpenAlexW2076867230MaRDI QIDQ607608

Marius Hofert, Matthias Scherer, Fabrizio Durante

Publication date: 22 November 2010

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-009-9134-6

zbMATH Keywords

copulahierarchical structureMarshall-Olkin distributionshock modelsingular component

Mathematics Subject Classification ID

Multivariate analysis (62H99) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05) Stochastic models in economics (91B70) Random number generation in numerical analysis (65C10)

Related Items (9)

A method for constructing higher-dimensional copulas ⋮ Marshall-Olkin type copulas generated by a global shock ⋮ \textit{Within} and \textit{between} systemic country risk. Theory and evidence from the sovereign crisis in Europe ⋮ Shock models with recovery option via the maxmin copulas ⋮ Copula modeling from Abe Sklar to the present day ⋮ Hierarchical Archimedean dependence in common shock models ⋮ Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity ⋮ Clustering of time series via non-parametric tail dependence estimation ⋮ Comments on: Inference in multivariate Archimedean copula models

Uses Software

• QRM

Cites Work

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