On certain transformations of Archimedean copulas: Application to the non-parametric estimation of their generators
Work
Year: 2013
Type: article
Abstract: We study the impact of certain transformations within the class of Archimedean copulas. We give some admissibility conditions for these transformations, and define some equivalence classes for both t... more
Source: Dependence Modeling
Authors Éléna Di Bernardino, Didier Rullière
Cites: 58
Cited by: 21
Related to: 10
FWCI: 4.939
Citation percentile (by year/subfield): 87.89
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
APC paid (est): $1,078