Article
Open Access
On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
-
Elena Di Bernardino
and
Didier Rullière
Published/Copyright:
December 31, 2013
Received: 2013-06-13
Accepted: 2013-10-08
Published Online: 2013-12-31
Published in Print: 2013-01-01
©2013 Versita Sp. z o.o.
Articles in the same Issue
- On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
- Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence
- Are law-invariant risk functions concave on distributions?
- Prediction of time series by statistical learning: general losses and fast rates
- Dependence of Stock Returns in Bull and Bear Markets
Keywords for this article
Transformations of Archimedean copulas;
self-nested diagonal;
non-parametric estimation;
tail dependence
Creative Commons
BY-NC-ND 3.0
Articles in the same Issue
- On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
- Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence
- Are law-invariant risk functions concave on distributions?
- Prediction of time series by statistical learning: general losses and fast rates
- Dependence of Stock Returns in Bull and Bear Markets
