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Original Articles

Understanding Relationships Using Copulas

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Pages 1-25 | Published online: 04 Jan 2013

Keep up to date with the latest research on this topic with citation updates for this article.

Read on this site (111)

Isha Dewan, Deepesh Bhati & K. K. Sudheesh. (2023) A new non-parametric test for testing positive quadrant dependence. Communications in Statistics - Simulation and Computation 52:10, pages 5090-5098.
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Robert Zimmerman, Radu V. Craiu & Vianey Leos-Barajas. (2023) Copula Modeling of Serially Correlated Multivariate Data with Hidden Structures. Journal of the American Statistical Association 0:0, pages 1-12.
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Martin Bladt. (2023) A Tractable Class of Multivariate Phase-Type Distributions for Loss Modeling. North American Actuarial Journal 27:4, pages 710-730.
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Sheida Riahi & Prakash N. Patil. (2023) Testing bivariate symmetry. Journal of Nonparametric Statistics 0:0, pages 1-26.
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Suzanna-Maria Paleologou. (2023) Income and democracy: a bivariate copula approach. Journal of Applied Statistics 50:7, pages 1635-1649.
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Chudamani Poudyal, Qian Zhao & Vytaras Brazauskas. (2023) Method of Winsorized Moments for Robust Fitting of Truncated and Censored Lognormal Distributions. North American Actuarial Journal 0:0, pages 1-25.
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Hansjörg Albrecher, Martin Bladt, Mogens Bladt & Jorge Yslas. (2023) Continuous scaled phase-type distributions. Stochastic Models 39:2, pages 293-322.
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Noureddine Benlagha & Wael Hemrit. (2023) Does investment in insurance stocks reap diversification benefits? Static and time varying copula modeling. Communications in Statistics - Simulation and Computation 52:4, pages 1384-1402.
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Yuta Tanoue. (2022) Concentration inequality of sums of dependent subexponential random variables and application to bounds for value-at-risk. Communications in Statistics - Theory and Methods 0:0, pages 1-20.
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S. A. Abu Bakar, S. Nadarajah & N. Ngataman. (2022) A family of density-hazard distributions for insurance losses. Communications in Statistics - Simulation and Computation 51:10, pages 5857-5875.
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Bahareh Ghanbari & Esmaeil Shirazi. (2022) Using copula information in wavelet estimation of bivariate density function based on censorship observations. Communications in Statistics - Theory and Methods 0:0, pages 1-15.
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Lu Yang. (2022) Nonparametric Copula Estimation for Mixed Insurance Claim Data. Journal of Business & Economic Statistics 40:2, pages 537-546.
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Övgücan Karadağ Erdemir & Meral Sucu. (2022) A modified pseudo-copula regression model for risk groups with various dependency levels. Journal of Statistical Computation and Simulation 92:5, pages 1092-1112.
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Yaming Yang & Shuanming Li. (2022) On a Family of Log-Gamma-Generated Archimedean Copulas. North American Actuarial Journal 26:1, pages 123-142.
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K. Dib, T. Bouezmarni, M. Belalia & A. Kitouni. (2021) Nonparametric bivariate distribution estimation using Bernstein polynomials under right censoring. Communications in Statistics - Theory and Methods 50:23, pages 5574-5584.
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Wei-Cheng Lin, Takeshi Emura & Li-Hsien Sun. (2021) Estimation under copula-based Markov normal mixture models for serially correlated data. Communications in Statistics - Simulation and Computation 50:12, pages 4483-4515.
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Sawssen Araichi & Tarifa Almulhim. (2021) Vine copulas and fuzzy inference to evaluate the solvency capital requirement of multivariate dependent risks. Applied Economics 53:52, pages 6058-6074.
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Salim Bouzebda, Issam Elhattab & Boutheina Nemouchi. (2021) On the uniform-in-bandwidth consistency of the general conditional U-statistics based on the copula representation. Journal of Nonparametric Statistics 33:2, pages 321-358.
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Ming-Hua Hsieh, Chenghsien Jason Tsai & Jennifer L. Wang. (2021) Mortality Risk Management Under the Factor Copula Framework—With Applications to Insurance Policy Pools. North American Actuarial Journal 25:sup1, pages S119-S131.
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Li-Hsien Sun, Chang-Shang Lee & Takeshi Emura. (2020) A Bayesian inference for time series via copula-based Markov chain models. Communications in Statistics - Simulation and Computation 49:11, pages 2897-2913.
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Juan Lin & Ximing Wu. (2020) A diagnostic test for specification of copulas under censorship. Econometric Reviews 39:9, pages 930-946.
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Waqas Hanif, Jose Arreola-Hernandez, Syed Jawad Hussain Shahzad, Thi Hong Van Hoang & Seong-Min Yoon. (2020) Regional and copula estimation effects on EU and US energy equity portfolios. Applied Economics 52:49, pages 5311-5342.
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Massimiliano Barbi, Hélyette Geman & Silvia Romagnoli. (2020) Diamonds and precious metals for reduction of portfolio tail risk. Applied Economics 52:26, pages 2841-2861.
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Selim Orhun Susam & Burcu Hudaverdi Ucer. (2020) A goodness-of-fit test based on Bézier curve estimation of Kendall distribution. Journal of Statistical Computation and Simulation 90:7, pages 1194-1215.
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Lu Yang, Edward W. Frees & Zhengjun Zhang. (2020) Nonparametric Estimation of Copula Regression Models With Discrete Outcomes. Journal of the American Statistical Association 115:530, pages 707-720.
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Kuangyu Wen & Ximing Wu. (2020) Transformation-Kernel Estimation of Copula Densities. Journal of Business & Economic Statistics 38:1, pages 148-164.
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A. A. Abdel Ghaly, H. M. Aly & R. N. Salah. (2020) Applying the copula approach on step stress accelerated life test under type II censoring. Communications in Statistics - Simulation and Computation 49:1, pages 159-177.
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Włodzimierz Wysocki. (2019) Integral generators of Archimedean n-copulas. Journal of Nonparametric Statistics 31:3, pages 629-662.
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Enrico Bernardi, Silvia Romagnoli & Matteo Doti. (2019) The impact of the dependence structure in risk management: a focus on credit-risk. International Journal of General Systems 48:4, pages 335-361.
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Moumita Chatterjee & Sugata Sen Roy. (2018) A copula-based approach for estimating the survival functions of two alternating recurrent events. Journal of Statistical Computation and Simulation 88:16, pages 3098-3115.
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J. Kowalski, S. Hao, T. Chen, Y. Liang, J. Liu, L. Ge, C. Feng & X. M. Tu. (2018) Modern variable selection for longitudinal semi-parametric models with missing data. Journal of Applied Statistics 45:14, pages 2548-2562.
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Doaa Basalamah, Wei Ning & Arjun Gupta. (2018) The beta skew t distribution and its properties. Journal of Statistical Theory and Practice 12:4, pages 837-860.
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Daniel H. Alai & Zinoviy Landsman. (2018) Lifetime dependence models generated by multiply monotone functions. Scandinavian Actuarial Journal 2018:7, pages 576-604.
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David Lee, Harry Joe & Pavel Krupskii. (2018) Tail-weighted dependence measures with limit being the tail dependence coefficient. Journal of Nonparametric Statistics 30:2, pages 262-290.
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Idika E. Okorie & Johnson Ohakwe. (2018) Forecasting Nigeria’s inflation and the world prices of her major agricultural export commodities with probability distributions via VaR and ES and estimating their dependence via copula. Communications in Statistics: Case Studies, Data Analysis and Applications 4:1, pages 28-45.
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Jing Xu, Jun Ma & Tania Prvan. (2017) Non parametric hazard estimation with dependent censoring using penalized likelihood and an assumed copula. Communications in Statistics - Theory and Methods 46:22, pages 11383-11403.
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Daniël Linders & Fan Yang. (2017) Aggregating Risks with Partial Dependence Information. North American Actuarial Journal 21:4, pages 565-579.
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Ahmed Ghorbel, Wajdi Hamma & Anis Jarboui. (2017) Dependence between oil and commodities markets using time-varying Archimedean copulas and effectiveness of hedging strategies. Journal of Applied Statistics 44:9, pages 1509-1542.
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Guilherme Pumi & Sílvia R. C. Lopes. (2017) Copulas related to piecewise monotone functions of the interval and associated processes. Communications in Statistics - Theory and Methods 46:2, pages 828-860.
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Xiaobing Zhao & Xian Zhou. (2017) Multi-type insurance claim processes with high-dimensional covariates. Communications in Statistics - Simulation and Computation 46:1, pages 500-514.
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O. Chatrabgoun & G. Parham. (2016) Copula Density Estimation Using Multiwavelets Based on the Multiresolution Analysis. Communications in Statistics - Simulation and Computation 45:9, pages 3350-3372.
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Indranil Ghosh & Samik Ray. (2016) Some alternative bivariate Kumaraswamy-type distributions via copula with application in risk management. Journal of Statistical Theory and Practice 10:4, pages 693-706.
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Junni L. Zhang, Wolfgang K. Härdle, Cathy Y. Chen & Elisabeth Bommes. (2016) Distillation of News Flow Into Analysis of Stock Reactions. Journal of Business & Economic Statistics 34:4, pages 547-563.
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E. Perrone & W.G. Müller. (2016) Optimal designs for copula models. Statistics 50:4, pages 917-929.
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Tahani Coolen-Maturi, Frank P. A. Coolen & Noryanti Muhammad. (2016) Predictive inference for bivariate data: Combining nonparametric predictive inference for marginals with an estimated copula. Journal of Statistical Theory and Practice 10:3, pages 515-538.
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Jeungbo Shim, Eun-Joo Lee & Seung-Hwan Lee. (2016) A new test procedure for the choice of dependence structure in risk measurement: application to the US and UK stock market indices. Applied Economics 48:15, pages 1382-1389.
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Peng Shi. (2016) Insurance ratemaking using a copula-based multivariate Tweedie model. Scandinavian Actuarial Journal 2016:3, pages 198-215.
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Xiaobing Zhao & Xian Zhou. (2015) Semiparametric models of longitudinal and time-to-event data with applications to HIV viral dynamics and CD4 counts. Journal of Applied Statistics 42:11, pages 2461-2477.
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Armelle Guillou, Philippe Naveau & Alexandre You. (2015) A folding methodology for multivariate extremes: estimation of the spectral probability measure and actuarial applications. Scandinavian Actuarial Journal 2015:7, pages 549-572.
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H. He, W. Wang, J. Hu, R. Gallop, P. Crits-Christoph & Y. Xia. (2015) Distribution-free inference of zero-inflated binomial data for longitudinal studies. Journal of Applied Statistics 42:10, pages 2203-2219.
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Włodzimierz Wysocki. (2015) Kendall's tau and Spearman's rho for n-dimensional Archimedean copulas and their asymptotic properties. Journal of Nonparametric Statistics 27:4, pages 442-459.
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Amir T. Payandeh Najafabadi & Marjan Qazvini. (2015) A GLM Approach to Estimating Copula Models. Communications in Statistics - Simulation and Computation 44:6, pages 1641-1656.
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Hemantha S. B. Herath & Pranesh Kumar. (2015) Using Copula Functions in Bayesian Analysis: A Comparison of the Lognormal Conjugate. The Engineering Economist 60:2, pages 89-108.
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Alireza Ermagun, Taha Hossein Rashidi & Amir Samimi. (2015) A joint model for mode choice and escort decisions of school trips. Transportmetrica A: Transport Science 11:3, pages 270-289.
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Juan Lin & Ximing Wu. (2015) Smooth Tests of Copula Specifications. Journal of Business & Economic Statistics 33:1, pages 128-143.
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Lei Hua & Michelle Xia. (2014) Assessing High-Risk Scenarios by Full-Range Tail Dependence Copulas. North American Actuarial Journal 18:3, pages 363-378.
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Salim Bouzebda & Tarek Zari. (2013) Strong approximation of empirical copula processes by Gaussian processes. Statistics 47:5, pages 1047-1063.
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Ruodu Wang, Liang Peng & Jingping Yang. (2013) Jackknife empirical likelihood for parametric copulas. Scandinavian Actuarial Journal 2013:5, pages 325-339.
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Mark Trede & Cornelia Savu. (2013) Do stock returns have an Archimedean copula?. Journal of Applied Statistics 40:8, pages 1764-1778.
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Qihe Tang & Zhongyi Yuan. (2013) Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation. North American Actuarial Journal 17:3, pages 253-271.
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Amin Hassan Zadeh & Martin Bilodeau. (2013) Fitting bivariate losses with phase-type distributions. Scandinavian Actuarial Journal 2013:4, pages 241-262.
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BarryK. Goodwin. (2013) A note on a simplified and general approach to simulating from multivariate copula functions. Applied Economics Letters 20:9, pages 910-915.
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Frederik Michiels & Ann De Schepper. (2013) A New Graphical Tool for Copula Selection. Journal of Computational and Graphical Statistics 22:2, pages 471-493.
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Prabhakar Chalise, Eric Chicken & Daniel McGee. (2013) Performance and Prediction for Varying Survival Time Scales. Communications in Statistics - Simulation and Computation 42:3, pages 636-649.
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Vinzenz Erhardt & Claudia Czado. (2012) Modeling dependent yearly claim totals including zero claims in private health insurance. Scandinavian Actuarial Journal 2012:2, pages 106-129.
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MichaelS. Smith & MohamadA. Khaled. (2012) Estimation of Copula Models With Discrete Margins via Bayesian Data Augmentation. Journal of the American Statistical Association 107:497, pages 290-303.
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EmilianoA. Valdez & Yugu Xiao. (2011) On the distortion of a copula and its margins. Scandinavian Actuarial Journal 2011:4, pages 292-317.
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H. Zhang, Y. Xia, R. Chen, D. Gunzler, W. Tang & Xin Tu. (2011) Modeling longitudinal binomial responses: implications from two dueling paradigms. Journal of Applied Statistics 38:11, pages 2373-2390.
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Min Ji, Mary Hardy & Johnny Siu-Hang Li. (2011) Markovian Approaches to Joint-Life Mortality. North American Actuarial Journal 15:3, pages 357-376.
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Salim Bouzebda, Nour-Eddin El Faouzi & Tarek Zari. (2011) On the Multivariate Two-Sample Problem Using Strong Approximations of Empirical Copula Processes. Communications in Statistics - Theory and Methods 40:8, pages 1490-1509.
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Chan Zeng, Zhaoxing Pan, Samantha MaWhinney, Anna E. Barón & Gary O. Zerbe. (2011) Permutation and F Distribution of Tests in the Multivariate General Linear Model. The American Statistician 65:1, pages 31-36.
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Michael Smith, Aleksey Min, Carlos Almeida & Claudia Czado. (2010) Modeling Longitudinal Data Using a Pair-Copula Decomposition of Serial Dependence. Journal of the American Statistical Association 105:492, pages 1467-1479.
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OmarS.H. Muhaisen, NohaJ.E. Elramlawee & Pedro A. García. (2010) Copula-EVT-based simulation for optimal rubble-mound breakwater design. Civil Engineering and Environmental Systems 27:4, pages 315-328.
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Héléne Cossette, Etienne Marceau & Fouad Marri. (2010) Analysis of ruin measures for the classical compound Poisson risk model with dependence. Scandinavian Actuarial Journal 2010:3, pages 221-245.
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Chunrong Jia, Stuart Batterman & JenniferC. D’Souza. (2010) Copulas and Other Multivariate Models of Personal Exposures to VOC Mixtures. Human and Ecological Risk Assessment: An International Journal 16:4, pages 873-900.
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EdwardW. (Jed) Frees & Yunjie (Winnie) Sun. (2010) Household Life Insurance Demand. North American Actuarial Journal 14:3, pages 338-354.
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Fabrizio Durante, Rachele Foschi & Peter Sarkoci. (2010) Distorted Copulas: Constructions and Tail Dependence. Communications in Statistics - Theory and Methods 39:12, pages 2288-2301.
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Cornelia Savu & Mark Trede. (2010) Hierarchies of Archimedean copulas. Quantitative Finance 10:3, pages 295-304.
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Martin Eling & Denis Toplek. (2009) Risk and return of reinsurance contracts under copula models. The European Journal of Finance 15:7-8, pages 751-775.
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Christian Genest, Michel Gendron & Michaël Bourdeau-Brien. (2009) The Advent of Copulas in Finance. The European Journal of Finance 15:7-8, pages 609-618.
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Omar S. Muhaisen, Francisco Osorio & Pedro A. García. (2009) Two-copula based simulation for detention basin design. Civil Engineering and Environmental Systems 26:4, pages 355-366.
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Amir Ahmadi Javid. (2009) Copulas with Truncation-Invariance Property. Communications in Statistics - Theory and Methods 38:20, pages 3756-3771.
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Matthias Fischer, Christian Köck, Stephan Schlüter & Florian Weigert. (2009) An empirical analysis of multivariate copula models. Quantitative Finance 9:7, pages 839-854.
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Zoltán Eisler, János Kertész, Fabrizio Lillo & Rosario N. Mantegna. (2009) Diffusive behavior and the modeling of characteristic times in limit order executions. Quantitative Finance 9:5, pages 547-563.
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Filippo Domma, Sabrina Giordano & Pier Francesco Perri. (2009) Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function. Communications in Statistics - Simulation and Computation 38:4, pages 703-728.
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Mathieu Boudreault & Christian-Marc Panneton. (2009) Multivariate Models of Equity Returns for Investment Guarantees Valuation. North American Actuarial Journal 13:1, pages 36-53.
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Mary Hardy$suffix/text()$suffix/text(). (2008) Editorial. North American Actuarial Journal 12:4, pages iii-iv.
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EMNA GARGOURI-ELLOUZE & ASSIA CHEBCHOUB. (2008) Modélisation de la structure de dépendance hauteur—durée d'événements pluvieux par la copule de Gumbel. Hydrological Sciences Journal 53:4, pages 802-817.
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Liang Peng. (2008) Estimating the Probability of a Rare Event via Elliptical Copulas. North American Actuarial Journal 12:2, pages 116-128.
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Cornelia Savu & Mark Trede. (2008) Goodness-of-fit tests for parametric families of Archimedean copulas. Quantitative Finance 8:2, pages 109-116.
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HemanthaS. B. Herath & Pranesh Kumar. (2007) New Research Directions in Engineering Economics—Modeling Dependencies with Copulas. The Engineering Economist 52:4, pages 305-331.
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MurrayD. Smith. (2007) Invariance Theorems for Fisher Information. Communications in Statistics - Theory and Methods 36:12, pages 2213-2222.
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Florence Wu, Emiliano Valdez & Michael Sherris. (2007) Simulating from Exchangeable Archimedean Copulas. Communications in Statistics - Simulation and Computation 36:5, pages 1019-1034.
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BeatrizV. M. Mendes, EduardoF. L. de Melo & RogerB. Nelsen. (2007) Robust Fits for Copula Models. Communications in Statistics - Simulation and Computation 36:5, pages 997-1017.
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Nikolai Kolev, Ulisses dos Anjos & Beatriz Vaz deM. Mendes. (2006) Copulas: A Review and Recent Developments. Stochastic Models 22:4, pages 617-660.
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Patrice Gaillardetz & X. Sheldon Lin. (2006) Valuation of Equity-Linked Insurance and Annuity Products with Binomial Models. North American Actuarial Journal 10:4, pages 117-144.
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DebbieJ. Dupuis & BruceL. Jones. (2006) Multivariate Extreme Value Theory And Its Usefulness In Understanding Risk. North American Actuarial Journal 10:4, pages 1-27.
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Drgabriel Escarela & Jacques F. Carriére. (2006) A bivariate model of claim frequencies and severities. Journal of Applied Statistics 33:8, pages 867-883.
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SALVATORE GRIMALDI & FRANCESCO SERINALDI. (2006) Design hyetograph analysis with 3-copula function. Hydrological Sciences Journal 51:2, pages 223-238.
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David M Zimmer & Pravin K Trivedi. (2006) Using Trivariate Copulas to Model Sample Selection and Treatment Effects. Journal of Business & Economic Statistics 24:1, pages 63-76.
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Belkacem Abdous & Kilani Ghoudi. (2005) Non-parametric estimators of multivariate extreme dependence functions. Journal of Nonparametric Statistics 17:8, pages 915-935.
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Cyril Caillault & Dominique Guégan. (2005) Empirical estimation of tail dependence using copulas: application to Asian markets. Quantitative Finance 5:5, pages 489-501.
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Christian Genest & François Verret. (2005) Locally most powerful rank tests of independence for copula models. Journal of Nonparametric Statistics 17:5, pages 521-539.
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EdwardW. Frees & Ping Wang. (2005) Credibility Using Copulas. North American Actuarial Journal 9:2, pages 31-48.
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Mario V. Wüthrich. (2004) Extreme Value Theory and Archimedean Copulas. Scandinavian Actuarial Journal 2004:3, pages 211-228.
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Y Malevergne & D Sornette. (2003) Testing the Gaussian copula hypothesis for financial assets dependences. Quantitative Finance 3:4, pages 231-250.
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U. Cherubini & E. Luciano. (2002) Bivariate option pricing with copulas. Applied Mathematical Finance 9:2, pages 69-85.
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Alessandro Juri. (2002) Supermodular Order and Lundberg Exponents. Scandinavian Actuarial Journal 2002:1, pages 17-36.
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Michel Denuit, Christian Genest & Étienne Marceau. (2002) Criteria for the Stochastic Ordering of Random Sums, with Actuarial Applications. Scandinavian Actuarial Journal 2002:1, pages 3-16.
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