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Journal of Applied Statistics Volume 36, 2009 - Issue 8
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Original Articles

Archimedean copulae for risk measurement

Giovanni De Luca Dipartimento di Statistica e Matematica per la Ricerca Economica, Università degli Studi di Napoli “Parthenope”, Napoli, ItalyCorrespondence[email protected]
&
Giorgia Rivieccio Dipartimento di Statistica e Matematica per la Ricerca Economica, Università degli Studi di Napoli “Parthenope”, Napoli, Italy
Pages 907-924 | Received 02 Jun 2008, Published online: 18 Jun 2009

Citations (7)

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Read on this site (3)

Marcela de Marillac Carvalho & Thelma Sáfadi. (2022) Risk analysis in the brazilian stock market: copula-APARCH modeling for value-at-risk. Journal of Applied Statistics 49:6, pages 1598-1610.
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Rebecca M. Baker, Tahani Coolen-Maturi & Frank P. A. Coolen. (2017) Nonparametric predictive inference for stock returns. Journal of Applied Statistics 44:8, pages 1333-1349.
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F. Louzada & P. H. Ferreira. (2016) Modified inference function for margins for the bivariate clayton copula-based SUN Tobit Model. Journal of Applied Statistics 43:16, pages 2956-2976.
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Articles from other publishers (4)

Fabian Capitanio, Giorgia Rivieccio & Felice Adinolfi. (2020) Food Price Volatility and Asymmetries in Rural Areas of South Mediterranean Countries: A Copula-Based GARCH Model. International Journal of Environmental Research and Public Health 17:16, pages 5855.
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Fabian Capitanio, Felice Adinolfi, Barry K. Goodwin & Giorgia Rivieccio. (2019) A COPULA-BASED APPROACH TO INVESTIGATE VERTICAL SHOCK PRICE TRANSMISSION IN THE ITALIAN HOG MARKET. New Medit 18:1, pages 3-14.
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Omar Abbara & Mauricio Zevallos. (2018) Modeling and forecasting intraday VaR of an exchange rate portfolio. Journal of Forecasting 37:7, pages 729-738.
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Frederik Michiels & Ann De Schepper. (2010) How to improve the fit of Archimedean copulas by means of transforms. Statistical Papers 53:2, pages 345-355.
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