Efficiently sampling nested Archimedean copulas
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Author / Producer
Date
2011-01
Publication Type
Journal Article
ETH Bibliography
yes
Citations
Altmetric
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Rights / License
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Publication status
published
External links
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Book title
Journal / series
Volume
55 (1)
Pages / Article No.
57 - 70
Publisher
Elsevier
Event
Edition / version
Methods
Software
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Date collected
Date created
Subject
Archimedean copulas; Nested Archimedean copulas; Laplace-Stieltjes transforms; Sampling algorithms; Exponentially tilted stable distributions
Organisational unit
03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
Notes
Received 16 August 2009, Revised 27 April 2010, Accepted 27 April 2010, Available online 6 May 2010.