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Communications in Statistics - Simulation and Computation Volume 36, 2007 - Issue 5
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Copulas and Applications

Robust Fits for Copula Models

Beatriz V. M. Mendes IM-COPPEAD, Federal University at Rio de Janeiro, Rio de Janeiro, BrazilCorrespondence[email protected]
,
Eduardo F. L. de Melo COPPEAD, Federal University at Rio de Janeiro, Rio de Janeiro, Brazil
&
Roger B. Nelsen Department of Mathematical Sciences, Lewis & Clark College, USA
Pages 997-1017 | Received 11 Feb 2006, Accepted 23 Feb 2007, Published online: 28 Aug 2007

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Pierre Alquier, Badr-Eddine Chérief-Abdellatif, Alexis Derumigny & Jean-David Fermanian. (2022) Estimation of Copulas via Maximum Mean Discrepancy. Journal of the American Statistical Association 0:0, pages 1-16.
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Beatriz Vaz de Melo Mendes & André Fluminense Carneiro. (2020) A Comprehensive Statistical Analysis of the Six Major Crypto-Currencies from August 2015 through June 2020. Journal of Risk and Financial Management 13:9, pages 192.
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Selim Orhun Susam. (2020) Parameter Estimation of Some Archimedean Copulas Based on Minimum Cramér-von-Mises Distance. Journal of the Iranian Statistical Society 19:1, pages 163-183.
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Lei Zhao, Yifei Yan & Xiangzhen Yan. (2020) A novel risk analysis approach of casing under complex conditions using copulas. Journal of Petroleum Science and Engineering 189, pages 106955.
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Afsaneh Nikoukar & Sasan Torabi. 2020. The Economics of Agriculture and Natural Resources. The Economics of Agriculture and Natural Resources 73 89 .
Tomáš Bacigál, Magdaléna Komorníková & Jozef Komorník. 2020. Information Technology, Systems Research, and Computational Physics. Information Technology, Systems Research, and Computational Physics 347 360 .
Namgil Lee & Jong-Min Kim. (2019) Dynamic functional connectivity analysis of functional MRI based on copula time-varying correlation. Journal of Neuroscience Methods 323, pages 32-47.
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Jozef Komorník, Magda Komorníková & Tomáš Bacigál. 2019. Data Analysis and Applications 2. Data Analysis and Applications 2 37 48 .
Ivan Kupka, Jozef Kiseľák, Naoyuki Ishimura, Yasukazu Yoshizawa, Ledys Salazar & Milan Stehlík. (2018) Time evolutions of copulas and foreign exchange markets. Information Sciences 467, pages 163-178.
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Bogdan Ozga-Zielinski, Maurycy Ciupak, Jan Adamowski, Bahaa Khalil & Julien Malard. (2016) Snow-melt flood frequency analysis by means of copula based 2D probability distributions for the Narew River in Poland. Journal of Hydrology: Regional Studies 6, pages 26-51.
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R. Pappadà, E. Perrone, F. Durante & G. Salvadori. (2015) Spin-off Extreme Value and Archimedean copulas for estimating the bivariate structural risk. Stochastic Environmental Research and Risk Assessment 30:1, pages 327-342.
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Bertrand K. HassaniBertrand K. Hassani. 2016. Scenario Analysis in Risk Management. Scenario Analysis in Risk Management 141 158 .
Ali Aroudi, Hadi Veisi, Hossein Sameti & Zahra Mafakheri. (2015) Speech signal modeling using multivariate distributions. EURASIP Journal on Audio, Speech, and Music Processing 2015:1.
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Dominique Guégan & Bertrand K. Hassani. 2015. Future Perspectives in Risk Models and Finance. Future Perspectives in Risk Models and Finance 89 124 .
Beatriz Vaz de Melo Mendes & Victor Bello Accioly. (2014) Robust pair-copula based forecasts of realized volatility. Applied Stochastic Models in Business and Industry 30:2, pages 183-199.
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Jean-David Fermanian. 2013. Copulae in Mathematical and Quantitative Finance. Copulae in Mathematical and Quantitative Finance 61 89 .
Beatriz Vaz de Melo Mendes & Daniel S. Marques. (2012) Choosing an optimal investment strategy: The role of robust pair-copulas based portfolios. Emerging Markets Review 13:4, pages 449-464.
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CHRISTIAN HERING & ULRICH STADTMÜLLER. (2012) Estimating Archimedean Copulas in High Dimensions. Scandinavian Journal of Statistics 39:3, pages 461-479.
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Gregor Weiß. (2010) Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study. Computational Statistics 26:1, pages 31-54.
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Beatriz Vaz de Melo Mendes, Mariângela Mendes Semeraro & Ricardo P. Câmara Leal. (2010) Pair-copulas modeling in finance. Financial Markets and Portfolio Management 24:2, pages 193-213.
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Jean-David Fermanian. (2012) An Overview of the Goodness-of-Fit Test Problem for Copulas. SSRN Electronic Journal.
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Jean-David Fermanian. (2012) An Overview of the Goodness-of-Fit Test Problem for Copulas. SSRN Electronic Journal.
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Gregor N. F. Weiss. (2011) On the Robustness of Goodness-of-Fit Tests for Copulas. SSRN Electronic Journal.
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