Parameter Estimation of Some Archimedean Copulas Based on Minimum Cramér-von-Mises Distance
Work
Year: 2020
Type: article
Abstract: The purpose of this paper is to introduce a new estimation method for estimating the Archimedean copula dependence parameter in the non-parametric setting.The estimation of the dependence parameter ha... more
Author Selim Orhun Susam
Institution Munzur University
Cites: 22
Cited by: 9
Related to: 10
FWCI: 1.524
Citation percentile (by year/subfield): 82.45
Subfield: Finance
Domain: Social Sciences
Open Access status: gold