Constructing hierarchical archimedean copulas with Lévy subordinators
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Publication:968494
DOI10.1016/j.jmva.2009.10.005zbMath1194.60017OpenAlexW2091639734MaRDI QIDQ968494
Christian Hering, Jan-Frederik Mai, Marius Hofert, Matthias Scherer
Publication date: 5 May 2010
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2009.10.005
Multivariate analysis (62H99) Characteristic functions; other transforms (60E10) Probability distributions: general theory (60E05) Random number generation in numerical analysis (65C10)
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Cites Work
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- Orthant tail dependence of multivariate extreme value distributions
- Sampling Archimedean copulas
- A probabilistic interpretation of complete monotonicity
- An introduction to copulas. Properties and applications
- Vines -- a new graphical model for dependent random variables.
- CDO pricing with nested Archimedean copulas
- Reparameterizing Marshall–Olkin copulas with applications to sampling
- Sampling nested Archimedean copulas
- On simulation from infinitely divisible distributions
- Sampling from Archimedean copulas
- Financial Modelling with Jump Processes
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