Constructing hierarchical Archimedean copulas with Lévy subordinators
dc.contributor.author
Hering, Christian
dc.contributor.author
Hofert, Marius
dc.contributor.author
Mai, Jan-Frederik
dc.contributor.author
Scherer, Matthias
dc.date.accessioned
2017-06-09T08:43:31Z
dc.date.available
2017-06-09T08:43:31Z
dc.date.issued
2010-07
dc.identifier.issn
1095-7243
dc.identifier.issn
0047-259X
dc.identifier.other
10.1016/j.jmva.2009.10.005
dc.identifier.uri
http://hdl.handle.net/20.500.11850/28237
dc.language.iso
en
dc.publisher
Elsevier
dc.subject
Hierarchical Archimedean copulas
dc.subject
Lévy subordinators
dc.subject
Sampling algorithm
dc.title
Constructing hierarchical Archimedean copulas with Lévy subordinators
dc.type
Journal Article
ethz.journal.title
Journal of Multivariate Analysis
ethz.journal.volume
101
ethz.journal.issue
6
ethz.journal.abbreviated
J. Multivar. Anal.
ethz.pages.start
1428
ethz.pages.end
1433
ethz.notes
Received 6 May 2009, Available online 16 October 2009.
ethz.identifier.nebis
000049428
ethz.publication.place
Amsterdam
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
ethz.date.deposited
2017-06-09T08:43:59Z
ethz.source
ECIT
ethz.identifier.importid
imp59364d86372f062677
ethz.ecitpid
pub:47290
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-12T16:49:51Z
ethz.rosetta.lastUpdated
2022-03-28T09:17:38Z
ethz.rosetta.versionExported
true
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Journal Article [128832]