Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index

DOI10.1016/J.CAM.2010.10.047zbMath1208.91163OpenAlexW1991045393MaRDI QIDQ629513

Nader Naifar

Publication date: 9 March 2011

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2010.10.047

zbMATH Keywords

nonparametric estimationdefault riskArchimedean copulasiTraxx CDS indexkurtosis of equity return distribution

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (2)

A test for Archimedeanity in bivariate copula models ⋮ Computation and application of copula-based weighted average quantile regression

Cites Work

• On the simultaneous associativity of F(x,y) and x+y-F(x,y)
• On nonparametric measures of dependence for random variables
• An introduction to copulas. Properties and applications
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
• Understanding Relationships Using Copulas
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