Archimedean Copulas in High Dimensions
Estimators and Numerical Challenges Motivated by Financial Applications
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Author / Producer
Date
2013
Publication Type
Journal Article
ETH Bibliography
yes
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Rights / License
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Publication status
published
External links
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Book title
Journal / series
Volume
154 (1)
Pages / Article No.
25 - 63
Publisher
Société Française de Statistique (SFdS)
Event
Edition / version
Methods
Software
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Date collected
Date created
Subject
Archimedean copulas; Parameter estimation; Kendall’s tau; Blomqvist’s beta; Minimum distance estimators; (diagonal/simulated) maximum-likelihood estimation; Quantitative risk management
Organisational unit
03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
03502 - Bühlmann, Peter L. / Bühlmann, Peter L.