This document has not been cited yet.

1. A. Baglioni, U. Cherubini (2013): Within and between systemic country risk: theory and evidence from the sovereign crisis in Europe, Journal of Economic Dynamics and Control, 37, 1581-1597

2. A. Charpentier, A.-L. Fougeres, C. Genest, J.G. Nešlehová (2014): Multivariate Archimax copulas. Journal of Multivariate Analysis, 126, 118-136

3. A. J. McNeil, J. Nešlehová (2009): Multivariate Archimedean copulas, d-monotone functions and L1-norm symmetric distributions. The Annals of Statistics, 37, 3059-3097.
   Paper not yet in RePEc: Add citation now
   
4. A. Khoudraji (1995): Contributions à l’étude des copules et à la modélisation des valeurs extrêmes bivariées. Ph.D. Thesis, Université Laval Québec, Canada
   Paper not yet in RePEc: Add citation now
   
5. A. W. Marshall, I. Olkin (1967): A multivariate exponential distribution. J. Amer. Statist. Ass., 62, 30-49.
   Paper not yet in RePEc: Add citation now
   
6. C. Genest, L-P Rivest (1993): Statistical Inference Procedures for Bivariate Archimedean Copulas. Journal of the American Statistical Association, 88(423), 10341043
   Paper not yet in RePEc: Add citation now
   

7. C. Genest, L.-P. Rivest (2001): On the multivariate probability integral transformation, Statistics & Probability Letters, 53, 391-399

8. D. Brigo, F. Mercurio (2006): Interest Rate Models-Theory and Practice, second edition, Springer, Heidelberg.
   Paper not yet in RePEc: Add citation now
   

9. E. Liebscher (2008): Construction of asymmetric multivariate copulas, Journal of Multivariate Analysis, 99, 2234-2250.

10. F. Lindskog, A.J. McNeil (2003): Common Poisson shock models: applications to insurance and credit risk modeling. Astin Bull., 33, 209-238

11. G. Bernhart, M. Escobar Anel, J.F. Mai, M. Scherer (2013): Default models based on scale mixtures of Marshall-Olkin Copulas: properties and applications. Metrika, 76(2), 179-203.

12. G. Mazo, S. Girard, F. Forbes (2015): Weighted least-squares inference for multivariate copulas based on dependence coefficients, ESAIM: Probability and Statistics, 19, 746765.
    Paper not yet in RePEc: Add citation now
    

13. H. Li (2009): Orthant tail dependence of multivariate extreme value distributions. J. of Multivariate Analysis, 100(1), 243-256.

14. J. Lin, X. Li (2014): Multivariate Generalized Marshall-Olkin Distributions and Copulas. Methodology and Computing in Applied Probability, 16, 1, 53-78 .
    Paper not yet in RePEc: Add citation now
    
15. J. Pinto, N. Kolev (2015): Extended Marshall-Olkin Model and Its Dual Version. In U. Cherubini, F. Durante, S. Mulinacci (eds.) Marshall-Olkin Distributions-Advances in Theory and Applications. Springer Proceedings in Mathematics and Statistics. Springer International Publishing Switzerland (2015), 87-113
    Paper not yet in RePEc: Add citation now
    

16. J.F. Mai, M. Scherer (2009): A tractable multivariate default model based on a stochastic time change. Int. J. of Theoretical and Applied Finance, 12(2), 227-249

17. J.F. Mai, M. Scherer, R. Zagst (2013): CIID frailty models and implied copulas. In: Copulae in Mathematical and Quantitative Finance, Lecture Notes in Statistics 2013,Springer Verlag , 201-230
    Paper not yet in RePEc: Add citation now
    
18. K. Giesecke (2003): A simple exponential model for dependent defaults. Journal of Fixed Income, 13(3), 74-83
    Paper not yet in RePEc: Add citation now
    
19. R.B. Nelsen (2003): Kendall distribution functions, Statistics & Probability Letters, 65, 263-268.
    Paper not yet in RePEc: Add citation now
    
20. R.B. Nelsen (2006): An Introduction to Copulas, Second Edition, Springer.
    Paper not yet in RePEc: Add citation now
    
21. S. Mulinacci (2015): Marshall-Olkin Machinery and Power Mixing: The Mixed Generalized Marshall-Olkin Distribution. In U. Cherubini, F. Durante, S. Mulinacci (eds.) Marshall-Olkin Distributions-Advances in Theory and Applications. Springer Proceedings in Mathematics and Statistics. Springer International Publishing Switzerland (2015), 65-86
    Paper not yet in RePEc: Add citation now
    
22. S. Mulinacci (2017): Archimedean-based Marshall-Olkin Distributions and Related Dependence Structures, Methodology and Computing in Applied Probability, DOI: 10.1007/s11009-016-9539-y
    Paper not yet in RePEc: Add citation now
    
23. U. Cherubini, S. Mulinacci (2014): Systemic risk with exchangeable contagion: application to the European banking system, http://arxiv.org/abs/1502.01918
    Paper not yet in RePEc: Add citation now
    

24. X. Li, F. Pellerey (2011): Generalized Marshall-Olkin Distributions and Related Bivariate Aging Properties. J. of Multivariate Analysis, 102(10), 1399-1409.

25. Y. Elouerkhaoui (2007): Pricing and hedging in a dynamic credit model. Int. J. of Theoretical and Applied Finance, 10, 703-731

1. Vector copulas. (2023). Henry, Marc ; Fan, Yanqin.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:234:y:2023:i:1:p:128-150.

   Full description at Econpapers || Download paper

2. About the exact simulation of bivariate (reciprocal) Archimax copulas. (2022). Jan-Frederik, Mai.
   In: Dependence Modeling.
   RePEc:vrs:demode:v:10:y:2022:i:1:p:29-47:n:4.

   Full description at Econpapers || Download paper

3. A Marshall-Olkin Type Multivariate Model with Underlying Dependent Shocks. (2022). Mulinacci, Sabrina.
   In: Methodology and Computing in Applied Probability.
   RePEc:spr:metcap:v:24:y:2022:i:4:d:10.1007_s11009-021-09925-y.

   Full description at Econpapers || Download paper

4. Detecting departures from meta-ellipticity for multivariate stationary time series. (2021). Aleksey, Min ; Miriam, Jaser ; Axel, Bucher .
   In: Dependence Modeling.
   RePEc:vrs:demode:v:9:y:2021:i:1:p:121-140:n:6.

   Full description at Econpapers || Download paper

5. Stochastic decomposition for ?p-norm symmetric survival functions on the positive orthant. (2021). Wang, Ruodu ; Mai, Jan-Frederik.
   In: Journal of Multivariate Analysis.
   RePEc:eee:jmvana:v:184:y:2021:i:c:s0047259x21000385.

   Full description at Econpapers || Download paper

6. Right-truncated Archimedean and related copulas. (2021). Hofert, Marius.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:99:y:2021:i:c:p:79-91.

   Full description at Econpapers || Download paper

7. Estimating redenomination risk under Gumbel–Hougaard survival copulas. (2021). Cherubini, Umberto.
   In: Journal of Economic Dynamics and Control.
   RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921002037.

   Full description at Econpapers || Download paper

8. Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation. (2021). Okhrin, Ostap ; Hofert, Marius ; Gorecki, Jan .
   In: Computational Statistics & Data Analysis.
   RePEc:eee:csdana:v:155:y:2021:i:c:s0167947320302000.

   Full description at Econpapers || Download paper

9. Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs. (2021). Cossette, Helene ; Chaoubi, Ihsan ; Robert, Christian Y ; Marceau, Etienne.
   In: Computational Statistics & Data Analysis.
   RePEc:eee:csdana:v:154:y:2021:i:c:s0167947320301626.

   Full description at Econpapers || Download paper

10. Risk attribution and interconnectedness in the EU via CDS data. (2020). Giuli, M E ; Farina, G ; Torri, G ; Giacometti, R.
    In: Computational Management Science.
    RePEc:spr:comgts:v:17:y:2020:i:4:d:10.1007_s10287-020-00385-2.

    Full description at Econpapers || Download paper

11. Network structures and idiosyncratic contagion in the European sovereign credit default swap market. (2020). Yang, Lu ; Chen, Wang ; Ho, Kung-Cheng.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302386.

    Full description at Econpapers || Download paper

12. Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness. (2020). Jang, Hyun Jin ; Choi, So Eun.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818302973.

    Full description at Econpapers || Download paper

13. Vector copulas and vector Sklar theorem. (2020). Henry, Marc ; Fan, Yanqin.
    In: Papers.
    RePEc:arx:papers:2009.06558.

    Full description at Econpapers || Download paper

14. Reliability analysis with consideration of asymmetrically dependent variables: Discussion and application to geotechnical examples. (2019). Neumann, Ingo ; Beer, Michael ; Gomes, Antnio Topa ; Zhang, YI ; Kim, Chul-Woo ; Nackenhorst, Udo.
    In: Reliability Engineering and System Safety.
    RePEc:eee:reensy:v:185:y:2019:i:c:p:261-277.

    Full description at Econpapers || Download paper

15. On second order conditions in the multivariate block maxima and peak over threshold method. (2019). Zou, Nan ; Volgushev, Stanislav ; Bucher, Axel.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:173:y:2019:i:c:p:604-619.

    Full description at Econpapers || Download paper

16. A new approach to measure systemic risk: A bivariate copula model for dependent censored data. (2019). Osmetti, Silvia Angela ; Calabrese, Raffaella.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:279:y:2019:i:3:p:1053-1064.

    Full description at Econpapers || Download paper

17. A note on bivariate Archimax copulas. (2018). Durante, Fabrizio ; Carlo, Sempi ; Fernandez, Sanchez Juan ; Fabrizio, Durante.
    In: Dependence Modeling.
    RePEc:vrs:demode:v:6:y:2018:i:1:p:178-182:n:11.

    Full description at Econpapers || Download paper

18. Archimedean-based Marshall-Olkin Distributions and Related Dependence Structures. (2018). Mulinacci, Sabrina.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:20:y:2018:i:1:d:10.1007_s11009-016-9539-y.

    Full description at Econpapers || Download paper

19. Hierarchical Archimax copulas. (2018). Hofert, Marius ; Prasad, Avinash ; Huser, Raphael.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:167:y:2018:i:c:p:195-211.

    Full description at Econpapers || Download paper

20. Extreme-value limit of the convolution of exponential and multivariate normal distributions: Link to the Hüsler–Reiß distribution. (2018). Krupskii, Pavel ; Genton, Marc G ; Lee, David ; Joe, Harry.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:163:y:2018:i:c:p:80-95.

    Full description at Econpapers || Download paper

21. $$D_s$$ D s -optimality in copula models. (2017). Müller, Werner ; Muller, Werner G ; Rappold, Andreas ; Perrone, Elisa .
    In: Statistical Methods & Applications.
    RePEc:spr:stmapp:v:26:y:2017:i:3:d:10.1007_s10260-016-0375-6.

    Full description at Econpapers || Download paper

22. Dependence between Stock Returns of Italian Banks and the Sovereign Risk. (2017). Durante, Fabrizio ; Foscolo, Enrico ; Weissensteiner, Alex.
    In: Econometrics.
    RePEc:gam:jecnmx:v:5:y:2017:i:2:p:23-:d:100926.

    Full description at Econpapers || Download paper

23. Non-linear models for extremal dependence. (2017). Mhalla, Linda ; Naveau, Philippe ; Chavez-Demoulin, Valerie.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:159:y:2017:i:c:p:49-66.

    Full description at Econpapers || Download paper

24. A systemic shock model for too big to fail financial institutions. (2017). Mulinacci, Sabrina .
    In: Papers.
    RePEc:arx:papers:1704.02160.

    Full description at Econpapers || Download paper

25. Spatial Tail Dependence and Survival Stability in a Class of Archimedean Copulas. (2016). Bagre, Remi Guillaume ; Diallo, Moumouni ; Barro, Diakarya.
    In: International Journal of Mathematics and Mathematical Sciences.
    RePEc:hin:jijmms:8927248.

    Full description at Econpapers || Download paper

26. On an asymmetric extension of multivariate Archimedean copulas based on quadratic form. (2016). di Bernardino, Elena.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01147778.

    Full description at Econpapers || Download paper

27. On an asymmetric extension of multivariate Archimedean copulas based on quadratic form. (2016). Rulliere, Didier ; di Bernardino, Elena.
    In: Post-Print.
    RePEc:hal:journl:hal-01147778.

    Full description at Econpapers || Download paper

28. Mixture pair-copula-constructions. (2015). Scheffer, Marcus ; Weiß, Gregor N. F., .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:54:y:2015:i:c:p:175-191.

    Full description at Econpapers || Download paper

29. Systemic Risk with Exchangeable Contagion: Application to the European Banking System. (2015). Mulinacci, Sabrina ; Cherubini, Umberto .
    In: Papers.
    RePEc:arx:papers:1502.01918.

    Full description at Econpapers || Download paper

30. Analyzing Herd Behavior in Global Stock Markets: An Intercontinental Comparison. (2013). Kim, Changki ; Choi, Yangho ; Lee, Woojoo ; Ahn, Jae Youn.
    In: Papers.
    RePEc:arx:papers:1308.3966.

    Full description at Econpapers || Download paper

Report date: 2025-02-25 18:23:44 || Missing content? Let us know