1,027
Views
108
CrossRef citations to date
0
Altmetric
Research Papers

Hierarchies of Archimedean copulas

&
Pages 295-304 | Received 12 Feb 2008, Accepted 06 Feb 2009, Published online: 23 Jul 2009

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

Read on this site (4)

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.
Read now
Hong Li & Yang Lu. (2019) Modeling cause-of-death mortality using hierarchical Archimedean copula. Scandinavian Actuarial Journal 2019:3, pages 247-272.
Read now
David Neuhäuser, Christian Hirsch, Catherine Gloaguen & Volker Schmidt. (2015) Parametric Modeling of Sparse Random Trees Using 3D Copulas. Stochastic Models 31:2, pages 226-260.
Read now
Mark Trede & Cornelia Savu. (2013) Do stock returns have an Archimedean copula?. Journal of Applied Statistics 40:8, pages 1764-1778.
Read now

Articles from other publishers (104)

Bouchra Zellou, Nabil El Moçayd & El Houcine Bergou. (2023) Review article: Towards improved drought prediction in the Mediterranean region – modeling approaches and future directions. Natural Hazards and Earth System Sciences 23:11, pages 3543-3583.
Crossref
Christian Genest, Ostap Okhrin & Taras Bodnar. (2023) Copula modeling from Abe Sklar to the present day. Journal of Multivariate Analysis, pages 105278.
Crossref
Ostap Okhrin & Alexander Ristig. (2023) Penalized estimation of hierarchical Archimedean copula. Journal of Multivariate Analysis, pages 105274.
Crossref
Giovanni De Luca & Paola Zuccolotto. (2023) Dynamic time series clustering with multivariate linkage and automatic dendrogram cutting using a recursive partitioning algorithm. Information Sciences 649, pages 119605.
Crossref
Suttisak Wattanawongwan, Christophe Mues, Ramin Okhrati, Taufiq Choudhry & Mee Chi So. (2023) Modelling credit card exposure at default using vine copula quantile regression. European Journal of Operational Research 311:1, pages 387-399.
Crossref
Patrizia Berti, Emanuela Dreassi, Fabrizio Leisen, Luca Pratelli & Pietro Rigo. (2023) New perspectives on knockoffs construction. Journal of Statistical Planning and Inference 223, pages 1-14.
Crossref
Shahid Latif & Slobodan P. Simonovic. (2023) Trivariate Probabilistic Assessments of the Compound Flooding Events Using the 3-D Fully Nested Archimedean (FNA) Copula in the Semiparametric Distribution Setting. Water Resources Management 37:4, pages 1641-1693.
Crossref
Shahid Latif & Slobodan P. Simonovic. (2023) Compounding joint impact of rainfall, storm surge and river discharge on coastal flood risk: an approach based on 3D fully nested Archimedean copulas. Environmental Earth Sciences 82:2.
Crossref
P. Kanthavel, C. K. Saxena & R. K. Singh. (2022) Integrated Drought Index based on Vine Copula Modelling. International Journal of Climatology 42:16, pages 9510-9529.
Crossref
Shahid Latif & Slobodan P. Simonovic. (2022) Trivariate Joint Distribution Modelling of Compound Events Using the Nonparametric D-Vine Copula Developed Based on a Bernstein and Beta Kernel Copula Density Framework. Hydrology 9:12, pages 221.
Crossref
Rolando Gonzales Martinez. (2022) How good is good? Bayesian machine-learning estimation of probabilistic benchmarks in noisy datasets and an application to nanofinance+. Systems and Soft Computing 4, pages 200036.
Crossref
Lele Zhang & Xiaohong Chen. (2022) Temporal and spatial distribution of compound flood potential in China’s coastal areas. Journal of Hydrology 615, pages 128719.
Crossref
Shahid Latif & Slobodan P. Simonovic. (2022) Parametric Vine Copula Framework in the Trivariate Probability Analysis of Compound Flooding Events. Water 14:14, pages 2214.
Crossref
Yingwei Han & Jie Li. (2022) Should investors include green bonds in their portfolios? Evidence for the USA and Europe. International Review of Financial Analysis 80, pages 101998.
Crossref
Thong Nguyen-Huy, Ravinesh C. Deo, Shahjahan Khan, Aruna Devi, Adewuyi Ayodele Adeyinka, Armando A. Apan & Zaher Mundher Yaseen. (2022) Student Performance Predictions for Advanced Engineering Mathematics Course With New Multivariate Copula Models. IEEE Access 10, pages 45112-45136.
Crossref
Giovanni De Luca & Paola Zuccolotto. (2021) Hierarchical time series clustering on tail dependence with linkage based on a multivariate copula approach. International Journal of Approximate Reasoning 139, pages 88-103.
Crossref
Hans Manner, Florian Stark & Dominik Wied. (2021) A monitoring procedure for detecting structural breaks in factor copula models. Studies in Nonlinear Dynamics & Econometrics 25:4, pages 171-192.
Crossref
Enrico Bernardi & Silvia Romagnoli. (2021) A distorted copula-based evolution model: risks’ aggregation in a Bonus–Malus migration system. Soft Computing 25:17, pages 11845-11863.
Crossref
Wendkouni Yaméogo & Diakarya Barro. (2021) Modeling the Dependence of Losses of a Financial Portfolio Using Nested Archimedean Copulas. International Journal of Mathematics and Mathematical Sciences 2021, pages 1-14.
Crossref
Jing Tian. (2021) Dependence Analysis of Insurance Businesses Based on Hierarchical Archimedean Copula Function. Journal of Physics: Conference Series 1952:4, pages 042037.
Crossref
Dineshkumar Muthuvel & Amai Mahesha. (2021) Copula-Based Frequency and Coincidence Risk Analysis of Floods in Tropical-Seasonal Rivers. Journal of Hydrologic Engineering 26:5.
Crossref
Umberto Cherubini & Sabrina Mulinacci. (2020) Hierarchical Archimedean Dependence in Common Shock Models. Methodology and Computing in Applied Probability 23:1, pages 143-163.
Crossref
Ihsan Chaoubi, Hélène Cossette, Etienne Marceau & Christian Y. Robert. (2021) Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs. Computational Statistics & Data Analysis 154, pages 107071.
Crossref
Enrico Bernardi & Silvia RomagnoliEnrico Bernardi & Silvia Romagnoli. 2021. Counting Statistics for Dependent Random Events. Counting Statistics for Dependent Random Events 165 193 .
Enrico Bernardi & Silvia RomagnoliEnrico Bernardi & Silvia Romagnoli. 2021. Counting Statistics for Dependent Random Events. Counting Statistics for Dependent Random Events 29 61 .
Martin Eling & Kwangmin Jung. (2020) Risk aggregation in non-life insurance: Standard models vs. internal models. Insurance: Mathematics and Economics 95, pages 183-198.
Crossref
Sergio René Araujo-Enciso, Simone Pieralli & Ignacio Pérez Domínguez. (2020) Introducing uncertainty in a large scale agricultural economic model: A methodological overview. Computers and Electronics in Agriculture 178, pages 105705.
Crossref
A. Ford Ramsey, Sujit K. Ghosh & Barry K. Goodwin. (2020) Rating exotic price coverage in crop revenue insurance. Agricultural Finance Review 80:5, pages 609-631.
Crossref
Maximilian Coblenz, Simon Holz, Hans‐Jörg Bauer, Oliver Grothe & Rainer Koch. (2020) Modelling fuel injector spray characteristics in jet engines by using vine copulas. Journal of the Royal Statistical Society: Series C (Applied Statistics) 69:4, pages 863-886.
Crossref
Lingling Ni, Dong Wang, Jianfeng Wu, Yuankun Wang, Yuwei Tao, Jianyun Zhang, Jiufu Liu & Fei Xie. (2020) Vine copula selection using mutual information for hydrological dependence modeling. Environmental Research 186, pages 109604.
Crossref
Wenyue Liu, Dong Wang, Vijay P. Singh, Yuankun Wang, Xiankui Zeng, Lingling Ni, Yuwei Tao, Jichun Wu, Jiufu Liu, Ying Zou, Ruimin He & Jianyun Zhang. (2020) A hybrid statistical model for ecological risk integral assessment of PAHs in sediments. Journal of Hydrology 583, pages 124612.
Crossref
Shahid Latif & Firuza Mustafa. (2020) Copula-based multivariate flood probability construction: a review. Arabian Journal of Geosciences 13:3.
Crossref
Andreas Masuhr & Mark Trede. (2020) Bayesian estimation of generalized partition of unity copulas. Dependence Modeling 8:1, pages 119-131.
Crossref
Chenfei Shao, Chongshi Gu, Zhenzhu Meng & Yating Hu. (2019) A Data-Driven Approach Based on Multivariate Copulas for Quantitative Risk Assessment of Concrete Dam. Journal of Marine Science and Engineering 7:10, pages 353.
Crossref
Guesuk Lee, Wongon Kim, Hyunseok Oh, Byeng D. Youn & Nam H. Kim. (2019) Review of statistical model calibration and validation—from the perspective of uncertainty structures. Structural and Multidisciplinary Optimization 60:4, pages 1619-1644.
Crossref
Yang Zhao, Charalampos Stasinakis, Georgios Sermpinis & Filipa Da Silva Fernandes. (2019) Revisiting Fama–French factors' predictability with Bayesian modelling and copula‐based portfolio optimization. International Journal of Finance & Economics 24:4, pages 1443-1463.
Crossref
Ranjan Pal, Leana Golubchik, Konstantions Psounis & Tathagata Bandyopadhyay. (2019) On Robust Estimates of Correlated Risk in Cyber-Insured IT Firms. ACM Transactions on Management Information Systems 10:3, pages 1-18.
Crossref
Olusola O. Ayantobo, Yi Li & Songbai Song. (2018) Copula-based trivariate drought frequency analysis approach in seven climatic sub-regions of mainland China over 1961–2013. Theoretical and Applied Climatology 137:3-4, pages 2217-2237.
Crossref
Bouchra Zellou & Hassane Rahali. (2019) Assessment of the joint impact of extreme rainfall and storm surge on the risk of flooding in a coastal area. Journal of Hydrology 569, pages 647-665.
Crossref
Hans Manner, Florian Stark & Dominik Wied. (2019) Testing for structural breaks in factor copula models. Journal of Econometrics 208:2, pages 324-345.
Crossref
Hans Manner, Farzad Alavi Fard, Armin Pourkhanali & Laleh Tafakori. (2019) Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae. Energy Economics 78, pages 143-164.
Crossref
Lan Zhang & V. P. Singh. 2019. Copulas and their Applications in Water Resources Engineering. Copulas and their Applications in Water Resources Engineering 172 241 .
Jan-Frederik Mai. (2019) Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case. Dependence Modeling 7:1, pages 202-214.
Crossref
Sebastain N. Awondo. (2019) Efficiency of region-wide catastrophic weather risk pools: Implications for African Risk Capacity insurance program. Journal of Development Economics 136, pages 111-118.
Crossref
Olusola O. Ayantobo, Yi Li & Songbai Song. (2018) Multivariate Drought Frequency Analysis using Four-Variate Symmetric and Asymmetric Archimedean Copula Functions. Water Resources Management 33:1, pages 103-127.
Crossref
Jürgen Franke, Wolfgang Karl Härdle & Christian Matthias HafnerJürgen Franke, Wolfgang Karl Härdle & Christian Matthias Hafner. 2019. Statistics of Financial Markets. Statistics of Financial Markets 381 420 .
Martin Eling & Kwangmin Jung. (2018) Copula approaches for modeling cross-sectional dependence of data breach losses. Insurance: Mathematics and Economics 82, pages 167-180.
Crossref
Yuan-tao Xie, Juan Yang, Chong-guang Jiang, Zi-yu Cai & Joshua Adagblenya. (2018) Incidence, Dependence Structure of Disease, and Rate Making for Health Insurance. Mathematical Problems in Engineering 2018, pages 1-13.
Crossref
Wenjun Zhu, Ken Seng Tan, Lysa Porth & Chou-Wen Wang. (2018) SPATIAL DEPENDENCE AND AGGREGATION IN WEATHER RISK HEDGING: A LÉVY SUBORDINATED HIERARCHICAL ARCHIMEDEAN COPULAS (LSHAC) APPROACH. ASTIN Bulletin 48:02, pages 779-815.
Crossref
Yihao Deng & N. Rao Chaganty. (2017) Hierarchical Archimedean copula models for the analysis of binary familial data. Statistics in Medicine 37:4, pages 590-597.
Crossref
Charlotte Baey, Ullrika Sahlin, Yann Clough & Henrik G. Smith. (2017) A model to account for data dependency when estimating floral cover in different land use types over a season. Environmental and Ecological Statistics 24:4, pages 505-527.
Crossref
Franziska Gaupp, Georg Pflug, Stefan Hochrainer-Stigler, Jim Hall & Simon Dadson. (2017) Dependency of Crop Production between Global Breadbaskets: A Copula Approach for the Assessment of Global and Regional Risk Pools. Risk Analysis 37:11, pages 2212-2228.
Crossref
Ostap Okhrin & Ya Fei Xu. (2017) A comparison study of pricing credit default swap index tranches with convex combination of copulae. The North American Journal of Economics and Finance 42, pages 193-217.
Crossref
Wei HU, Yong MIN, Yifan ZHOU & Qiuyu LU. (2017) Wind power forecasting errors modelling approach considering temporal and spatial dependence. Journal of Modern Power Systems and Clean Energy 5:3, pages 489-498.
Crossref
Wenjun Zhu, Ken Seng Tan & Chou-Wen Wang. (2017) Modeling Multicountry Longevity Risk With Mortality Dependence: A Lévy Subordinated Hierarchical Archimedean Copulas Approach. Journal of Risk and Insurance 84:S1, pages 477-493.
Crossref
M. B. Masud, M. N. Khaliq & H. S. Wheater. (2016) Future changes to drought characteristics over the Canadian Prairie Provinces based on NARCCAP multi-RCM ensemble. Climate Dynamics 48:7-8, pages 2685-2705.
Crossref
Raffaella Calabrese, Marta Degl’Innocenti & Silvia Angela Osmetti. (2017) The effectiveness of TARP-CPP on the US banking industry: A new copula-based approach. European Journal of Operational Research 256:3, pages 1029-1037.
Crossref
Ostap Okhrin, Alexander Ristig & Ya-Fei Xu. 2017. Applied Quantitative Finance. Applied Quantitative Finance 247 277 .
Marie-Pier Côté, Christian Genest & Anas Abdallah. (2016) Rank-based methods for modeling dependence between loss triangles. European Actuarial Journal 6:2, pages 377-408.
Crossref
Hans Manner, Dennis Türk & Michael Eichler. (2016) Modeling and forecasting multivariate electricity price spikes. Energy Economics 60, pages 255-265.
Crossref
R. Jane, L. Dalla Valle, D. Simmonds & A. Raby. (2016) A copula-based approach for the estimation of wave height records through spatial correlation. Coastal Engineering 117, pages 1-18.
Crossref
Carlos Almeida, Claudia Czado & Hans Manner. (2016) Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models. Applied Stochastic Models in Business and Industry 32:5, pages 621-638.
Crossref
Wenjun Zhu, Chou-Wen Wang & Ken Seng Tan. (2016) Structure and estimation of Lévy subordinated hierarchical Archimedean copulas (LSHAC): Theory and empirical tests. Journal of Banking & Finance 69, pages 20-36.
Crossref
Matthias R. Fengler & Ostap Okhrin. (2016) Managing risk with a realized copula parameter. Computational Statistics & Data Analysis 100, pages 131-152.
Crossref
Enrico Bernardi & Silvia Romagnoli. (2016) Distorted Copula-Based Probability Distribution of a Counting Hierarchical Variable: A Credit Risk Application. International Journal of Information Technology & Decision Making 15:02, pages 285-310.
Crossref
Jan Górecki, Marius Hofert & Martin Holeňa. (2015) An approach to structure determination and estimation of hierarchical Archimedean Copulas and its application to Bayesian classification. Journal of Intelligent Information Systems 46:1, pages 21-59.
Crossref
Dimitrios Panagiotou & Athanassios Stavrakoudis. (2016) Price Dependence between Different Beef Cuts and Quality Grades: A Copula Approach at the Retail Level for the U.S. Beef Industry. Journal of Agricultural & Food Industrial Organization 14:1, pages 121-131.
Crossref
Toshinao Yoshiba. 2016. Applications + Practical Conceptualization + Mathematics = fruitful Innovation. Applications + Practical Conceptualization + Mathematics = fruitful Innovation 247 259 .
Martin Holena, Lukas Bajer & Martin Scavnicky. (2015) Using Copulas in Data Mining Based on the Observational Calculus. IEEE Transactions on Knowledge and Data Engineering 27:10, pages 2851-2864.
Crossref
Wolfgang Karl Härdle, Ostap Okhrin & Weining Wang. (2014) HIDDEN MARKOV STRUCTURES FOR DYNAMIC COPULAE. Econometric Theory 31:5, pages 981-1015.
Crossref
Anas Abdallah, Jean-Philippe Boucher & Hélène Cossette. (2015) MODELING DEPENDENCE BETWEEN LOSS TRIANGLES WITH HIERARCHICAL ARCHIMEDEAN COPULAS. ASTIN Bulletin 45:3, pages 577-599.
Crossref
Oliver Grothe & Marius Hofert. (2015) Construction and sampling of Archimedean and nested Archimedean Lévy copulas. Journal of Multivariate Analysis 138, pages 182-198.
Crossref
Enrico Bernardi, Federico Falangi & Silvia Romagnoli. (2015) A hierarchical copula-based world-wide valuation of sovereign risk. Insurance: Mathematics and Economics 61, pages 155-169.
Crossref
Mohammad Mirbagherijam, Mohammad Nabi Shahiki Tash, Gholamreza Zamanian & Amir Safari. (2015) Aggregation of underwriting risks in insurance industry of Iran using vine copula. Risk Governance and Control: Financial Markets and Institutions 5:4, pages 149-161.
Crossref
Jürgen Franke, Wolfgang Karl Härdle & Christian Matthias HafnerJürgen Franke, Wolfgang Karl Härdle & Christian Matthias Hafner. 2015. Statistics of Financial Markets. Statistics of Financial Markets 373 411 .
Matthias Fischer & Kevin Jakob. 2015. Innovations in Quantitative Risk Management. Innovations in Quantitative Risk Management 129 145 .
Long Kang. 2015. Handbook of Financial Econometrics and Statistics. Handbook of Financial Econometrics and Statistics 1431 1449 .
Göran Kauermann & Christian Schellhase. (2013) Flexible pair-copula estimation in D-vines using bivariate penalized splines. Statistics and Computing 24:6, pages 1081-1100.
Crossref
V. Kumar, XI (Alan) Zhang & Anita Luo. (2014) Modeling Customer Opt-In and Opt-Out in a Permission-Based Marketing Context. Journal of Marketing Research 51:4, pages 403-419.
Crossref
Poulomi Ganguli & M. Janga Reddy. (2014) Evaluation of trends and multivariate frequency analysis of droughts in three meteorological subdivisions of western India. International Journal of Climatology 34:3, pages 911-928.
Crossref
Eike Christian Brechmann. (2014) Hierarchical Kendall copulas: Properties and inference. Canadian Journal of Statistics 42:1, pages 78-108.
Crossref
Göran Kauermann & Renate Meyer. (2013) Penalized marginal likelihood estimation of finite mixtures of Archimedean copulas. Computational Statistics 29:1-2, pages 283-306.
Crossref
Jan Górecki & Martin Holeňa. 2014. New Frontiers in Mining Complex Patterns. New Frontiers in Mining Complex Patterns 132 147 .
Göran Kauermann, Christian Schellhase & David Ruppert. (2013) Flexible Copula Density Estimation with Penalized Hierarchical B-splines. Scandinavian Journal of Statistics 40:4, pages 685-705.
Crossref
Ostap Okhrin, Martin Odening & Wei Xu. (2012) Systemic Weather Risk and Crop Insurance: The Case of China. Journal of Risk and Insurance 80:2, pages 351-372.
Crossref
Stefano Corbella & Derek D. Stretch. (2013) Simulating a multivariate sea storm using Archimedean copulas. Coastal Engineering 76, pages 68-78.
Crossref
Paul Embrechts & Marius Hofert. (2013) STATISTICAL INFERENCE FOR COPULAS IN HIGH DIMENSIONS: A SIMULATION STUDY. ASTIN Bulletin 43:2, pages 81-95.
Crossref
Ostap Okhrin, Yarema Okhrin & Wolfgang Schmid. (2013) On the structure and estimation of hierarchical Archimedean copulas. Journal of Econometrics 173:2, pages 189-204.
Crossref
J. Dißmann, E.C. Brechmann, C. Czado & D. Kurowicka. (2013) Selecting and estimating regular vine copulae and application to financial returns. Computational Statistics & Data Analysis 59, pages 52-69.
Crossref
Poulomi Ganguli & M. Janga Reddy. (2012) Probabilistic assessment of flood risks using trivariate copulas. Theoretical and Applied Climatology 111:1-2, pages 341-360.
Crossref
Stefano Corbella & Derek D. Stretch. (2012) Predicting coastal erosion trends using non-stationary statistics and process-based models. Coastal Engineering 70, pages 40-49.
Crossref
Marius Hofert, Martin Mächler & Alexander J. McNeil. (2012) Likelihood inference for Archimedean copulas in high dimensions under known margins. Journal of Multivariate Analysis 110, pages 133-150.
Crossref
S. Corbella & D. D. Stretch. (2012) Multivariate return periods of sea storms for coastal erosion risk assessment. Natural Hazards and Earth System Sciences 12:8, pages 2699-2708.
Crossref
Dorothea Diers, Martin Eling & Sebastian D. Marek. (2012) Dependence modeling in non-life insurance using the Bernstein copula. Insurance: Mathematics and Economics 50:3, pages 430-436.
Crossref
Umberto Cherubini, Fabio Gobbi, Sabrina Mulinacci & Silvia Romagnoli. 2011. Dynamic Copula Methods in Finance. Dynamic Copula Methods in Finance 251 257 .
Sangwook Lee, Min Jae Kim & Soo Yong Kim. (2011) Interest rates factor model. Physica A: Statistical Mechanics and its Applications 390:13, pages 2531-2548.
Crossref
Min Jae Kim, Young Bin Kwak & Soo Yong Kim. (2011) Dependence structure of the Korean stock market in high frequency data. Physica A: Statistical Mechanics and its Applications 390:5, pages 891-901.
Crossref
Wolfgang K. HHrdle, Ostap Okhrin & Weining Wang. (2014) Hidden Markov Structures for Dynamic Copulae. SSRN Electronic Journal.
Crossref
Wenjun Zhu, Ken Seng Tan, Lysa Porth & ChouuWen Wang. (2015) Spatial Dependence & Aggregation in Weather Risk Hedging. SSRN Electronic Journal.
Crossref
Wenjun Zhu, ChouuWen Wang & Ken Seng Tan. (2015) Structure and Estimation of LLvy Subordinated Hierarchical Archimedean Copulas (LSHAC): Theory and Empirical Tests. SSRN Electronic Journal.
Crossref
Wenjun Zhu, Ken Seng Tan & ChouuWen Wang. (2015) Modeling Multi-Country Longevity Risk with Mortality Dependence: A LLvy Subordinated Hierarchical Archimedean Copulas (LSHAC) Approach. SSRN Electronic Journal.
Crossref
Jean-David Fermanian. (2012) An Overview of the Goodness-of-Fit Test Problem for Copulas. SSRN Electronic Journal.
Crossref
Jean-David Fermanian. (2012) An Overview of the Goodness-of-Fit Test Problem for Copulas. SSRN Electronic Journal.
Crossref
Long Kang. (2009) Modeling the Dependence Structure between Bonds and Stocks: A Multivariate Copula Approach. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.