Chamnan, Wongtawan; Sumetkijakan, Songkiat Characterization of pre-idempotent copulas. (English) Zbl 07794355 Depend. Model. 11, Article ID 20230106, 12 p. (2023). MSC: 62H05 60A10 28A05 47B65 PDFBibTeX XMLCite \textit{W. Chamnan} and \textit{S. Sumetkijakan}, Depend. Model. 11, Article ID 20230106, 12 p. (2023; Zbl 07794355) Full Text: DOI OA License
Fernández-Durán, Juan José; Gregorio-Domínguez, María Mercedes Test of bivariate independence based on angular probability integral transform with emphasis on circular-circular and circular-linear data. (English) Zbl 07794352 Depend. Model. 11, Article ID 20230103, 17 p. (2023). MSC: 62H11 62H05 PDFBibTeX XMLCite \textit{J. J. Fernández-Durán} and \textit{M. M. Gregorio-Domínguez}, Depend. Model. 11, Article ID 20230103, 17 p. (2023; Zbl 07794352) Full Text: DOI OA License
Jaworski, Piotr On copulas with a trapezoid support. (English) Zbl 1522.62033 Depend. Model. 11, Article ID 20230101, 23 p. (2023). MSC: 62H05 PDFBibTeX XMLCite \textit{P. Jaworski}, Depend. Model. 11, Article ID 20230101, 23 p. (2023; Zbl 1522.62033) Full Text: DOI
Albrecher, Hansjörg; Bladt, Martin; Müller, Alaric J. A. Joint lifetime modeling with matrix distributions. (English) Zbl 1514.62184 Depend. Model. 11, Article ID 20220153, 22 p. (2023). MSC: 62N02 62H05 62M05 62P05 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Depend. Model. 11, Article ID 20220153, 22 p. (2023; Zbl 1514.62184) Full Text: DOI arXiv
Sloot, Henrik Implementing Markovian models for extendible Marshall-Olkin distributions. (English) Zbl 1515.60079 Depend. Model. 10, 308-343 (2022). MSC: 60G09 60J28 62-08 62H05 PDFBibTeX XMLCite \textit{H. Sloot}, Depend. Model. 10, 308--343 (2022; Zbl 1515.60079) Full Text: DOI
Mathews, Joseph; Bhattacharya, Sumangal; Sen, Sumen; Das, Ishapathik Multiple inflated negative binomial regression for correlated multivariate count data. (English) Zbl 1498.62103 Depend. Model. 10, 290-307 (2022). MSC: 62H05 62H10 60E99 PDFBibTeX XMLCite \textit{J. Mathews} et al., Depend. Model. 10, 290--307 (2022; Zbl 1498.62103) Full Text: DOI
Verhoijsen, Alex; Krupskiy, Pavel Fast inference methods for high-dimensional factor copulas. (English) Zbl 1498.62104 Depend. Model. 10, 270-289 (2022). MSC: 62H05 62H12 62-08 62P05 PDFBibTeX XMLCite \textit{A. Verhoijsen} and \textit{P. Krupskiy}, Depend. Model. 10, 270--289 (2022; Zbl 1498.62104) Full Text: DOI
Griessenberger, Florian; Trutschnig, Wolfgang Maximal asymmetry of bivariate copulas and consequences to measures of dependence. (English) Zbl 1495.62034 Depend. Model. 10, 245-269 (2022). MSC: 62H05 62H20 60E05 54E52 PDFBibTeX XMLCite \textit{F. Griessenberger} and \textit{W. Trutschnig}, Depend. Model. 10, 245--269 (2022; Zbl 1495.62034) Full Text: DOI
Ressel, Paul Stable tail dependence functions – some basic properties. (English) Zbl 1509.60061 Depend. Model. 10, 225-235 (2022). Reviewer: Maria C. Mariani (El Paso) MSC: 60E05 62H05 26B40 PDFBibTeX XMLCite \textit{P. Ressel}, Depend. Model. 10, 225--235 (2022; Zbl 1509.60061) Full Text: DOI
Zhai, Jian; James, Robert; Prokhorov, Artem Technical and allocative inefficiency in production systems: a vine copula approach. (English) Zbl 1489.62380 Depend. Model. 10, 145-158 (2022). MSC: 62P20 62H05 91B38 PDFBibTeX XMLCite \textit{J. Zhai} et al., Depend. Model. 10, 145--158 (2022; Zbl 1489.62380) Full Text: DOI
Mamonov, Mikhail E.; Parmeter, Christopher F.; Prokhorov, Artem B. Dependence modeling in stochastic frontier analysis. (English) Zbl 1489.62376 Depend. Model. 10, 123-144 (2022). MSC: 62P20 91B38 62G05 62H05 PDFBibTeX XMLCite \textit{M. E. Mamonov} et al., Depend. Model. 10, 123--144 (2022; Zbl 1489.62376) Full Text: DOI
Bladt, Martin; McNeil, Alexander J. Time series with infinite-order partial copula dependence. (English) Zbl 1489.62268 Depend. Model. 10, 87-107 (2022). MSC: 62M10 62M05 62H05 60G10 60G15 60G22 PDFBibTeX XMLCite \textit{M. Bladt} and \textit{A. J. McNeil}, Depend. Model. 10, 87--107 (2022; Zbl 1489.62268) Full Text: DOI arXiv
Mai, Jan-Frederik About the exact simulation of bivariate (reciprocal) Archimax copulas. (English) Zbl 1489.62002 Depend. Model. 10, 29-47 (2022). MSC: 62-08 65C05 60E05 62H05 PDFBibTeX XMLCite \textit{J.-F. Mai}, Depend. Model. 10, 29--47 (2022; Zbl 1489.62002) Full Text: DOI
Benth, Fred Espen; Nunno, Giulia Di; Schroers, Dennis A topological proof of Sklar’s theorem in arbitrary dimensions. (English) Zbl 1491.60022 Depend. Model. 10, 22-28 (2022). MSC: 60E05 62H05 62H20 28C20 PDFBibTeX XMLCite \textit{F. E. Benth} et al., Depend. Model. 10, 22--28 (2022; Zbl 1491.60022) Full Text: DOI arXiv
Tepegjozova, Marija; Zhou, Jing; Claeskens, Gerda; Czado, Claudia Nonparametric C- and D-vine-based quantile regression. (English) Zbl 1480.62069 Depend. Model. 10, 1-21 (2022). MSC: 62G08 62G05 62H05 PDFBibTeX XMLCite \textit{M. Tepegjozova} et al., Depend. Model. 10, 1--21 (2022; Zbl 1480.62069) Full Text: DOI arXiv
Papapantoleon, Antonis; Yanez Sarmiento, Paulo Detection of arbitrage opportunities in multi-asset derivatives markets. (English) Zbl 1483.91240 Depend. Model. 9, 439-459 (2021). MSC: 91G20 62P05 62H05 PDFBibTeX XMLCite \textit{A. Papapantoleon} and \textit{P. Yanez Sarmiento}, Depend. Model. 9, 439--459 (2021; Zbl 1483.91240) Full Text: DOI arXiv
Mercadier, Cécile; Ressel, Paul Hoeffding-Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application. (English) Zbl 1493.62262 Depend. Model. 9, 179-198 (2021). MSC: 62G32 26A48 26B99 44A30 62H05 PDFBibTeX XMLCite \textit{C. Mercadier} and \textit{P. Ressel}, Depend. Model. 9, 179--198 (2021; Zbl 1493.62262) Full Text: DOI
Foschi, Rachele; Nappo, Giovanna; Spizzichino, Fabio L. Diagonal sections of copulas, multivariate conditional hazard rates and distributions of order statistics for minimally stable lifetimes. (English) Zbl 1493.62271 Depend. Model. 9, 394-423 (2021). MSC: 62H05 62G30 60K10 62N05 PDFBibTeX XMLCite \textit{R. Foschi} et al., Depend. Model. 9, 394--423 (2021; Zbl 1493.62271) Full Text: DOI arXiv
Mesfioui, Mhamed; Trufin, Julien Dispersive order comparisons on extreme order statistics from homogeneous dependent random vectors. (English) Zbl 1493.62254 Depend. Model. 9, 385-393 (2021). MSC: 62G30 62H05 PDFBibTeX XMLCite \textit{M. Mesfioui} and \textit{J. Trufin}, Depend. Model. 9, 385--393 (2021; Zbl 1493.62254) Full Text: DOI
Arnold, Barry C.; Arvanitis, Matthew On a general class of gamma based copulas. (English) Zbl 1476.62086 Depend. Model. 9, 374-384 (2021). MSC: 62H05 62E10 PDFBibTeX XMLCite \textit{B. C. Arnold} and \textit{M. Arvanitis}, Depend. Model. 9, 374--384 (2021; Zbl 1476.62086) Full Text: DOI
Saminger-Platz, Susanne; Kolesárová, Anna; Šeliga, Adam; Mesiar, Radko; Klement, Erich Peter New results on perturbation-based copulas. (English) Zbl 1515.62055 Depend. Model. 9, 347-373 (2021). MSC: 62H05 62F10 62H20 PDFBibTeX XMLCite \textit{S. Saminger-Platz} et al., Depend. Model. 9, 347--373 (2021; Zbl 1515.62055) Full Text: DOI
Pfeifer, Dietmar; Ragulina, Olena Generating unfavourable VaR scenarios under Solvency II with patchwork copulas. (English) Zbl 1476.91221 Depend. Model. 9, 327-346 (2021). MSC: 91G70 62H05 62H12 62H17 91G60 PDFBibTeX XMLCite \textit{D. Pfeifer} and \textit{O. Ragulina}, Depend. Model. 9, 327--346 (2021; Zbl 1476.91221) Full Text: DOI
Kasper, Thimo M.; Fuchs, Sebastian; Trutschnig, Wolfgang On convergence of associative copulas and related results. (English) Zbl 1476.62095 Depend. Model. 9, 307-326 (2021). MSC: 62H05 60E05 54E52 PDFBibTeX XMLCite \textit{T. M. Kasper} et al., Depend. Model. 9, 307--326 (2021; Zbl 1476.62095) Full Text: DOI
Ansari, Jonathan; Rüschendorf, Ludger Sklar’s theorem, copula products, and ordering results in factor models. (English) Zbl 1479.60040 Depend. Model. 9, 267-306 (2021). MSC: 60E15 60E05 28A50 62H05 PDFBibTeX XMLCite \textit{J. Ansari} and \textit{L. Rüschendorf}, Depend. Model. 9, 267--306 (2021; Zbl 1479.60040) Full Text: DOI
Jaworski, Piotr; Krzywda, Marcin On copulas of self-similar Ito processes. (English) Zbl 1476.62094 Depend. Model. 9, 243-266 (2021). MSC: 62H05 60G18 60H10 60E05 60J60 PDFBibTeX XMLCite \textit{P. Jaworski} and \textit{M. Krzywda}, Depend. Model. 9, 243--266 (2021; Zbl 1476.62094) Full Text: DOI
Lefèvre, Claude On partially Schur-constant models and their associated copulas. (English) Zbl 1493.62272 Depend. Model. 9, 225-242 (2021). MSC: 62H05 62H10 60G09 PDFBibTeX XMLCite \textit{C. Lefèvre}, Depend. Model. 9, 225--242 (2021; Zbl 1493.62272) Full Text: DOI
Šeliga, Adam; Kauers, Manuel; Saminger-Platz, Susanne; Mesiar, Radko; Kolesárová, Anna; Klement, Erich Peter Polynomial bivariate copulas of degree five: characterization and some particular inequalities. (English) Zbl 1497.62123 Depend. Model. 9, 13-42 (2021). MSC: 62H05 26B25 60E05 62E10 62H20 PDFBibTeX XMLCite \textit{A. Šeliga} et al., Depend. Model. 9, 13--42 (2021; Zbl 1497.62123) Full Text: DOI
Gijbels, Irène; Matterne, Margot Study of partial and average conditional Kendall’s tau. (English) Zbl 1476.62091 Depend. Model. 9, 82-120 (2021). Reviewer: Carlo Sempi (Lecce) MSC: 62H05 60E05 PDFBibTeX XMLCite \textit{I. Gijbels} and \textit{M. Matterne}, Depend. Model. 9, 82--120 (2021; Zbl 1476.62091) Full Text: DOI
Aas, Kjersti; Nagler, Thomas; Jullum, Martin; Løland, Anders Explaining predictive models using Shapley values and non-parametric vine copulas. (English) Zbl 1473.62101 Depend. Model. 9, 62-81 (2021). MSC: 62G05 62H05 68T01 91A12 PDFBibTeX XMLCite \textit{K. Aas} et al., Depend. Model. 9, 62--81 (2021; Zbl 1473.62101) Full Text: DOI arXiv
Billio, Monica; Frattarolo, Lorenzo; Guégan, Dominique Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case. (English) Zbl 1474.62195 Depend. Model. 9, 43-61 (2021). MSC: 62H15 62G10 62G30 62H05 PDFBibTeX XMLCite \textit{M. Billio} et al., Depend. Model. 9, 43--61 (2021; Zbl 1474.62195) Full Text: DOI
Geenens, Gery Copula modeling for discrete random vectors. (English) Zbl 1460.62071 Depend. Model. 8, 417-440 (2020). MSC: 62H05 62H17 62H20 PDFBibTeX XMLCite \textit{G. Geenens}, Depend. Model. 8, 417--440 (2020; Zbl 1460.62071) Full Text: DOI
Fuchs, Sebastian; Trutschnig, Wolfgang On quantile based co-risk measures and their estimation. (English) Zbl 1460.62070 Depend. Model. 8, 396-416 (2020). MSC: 62H05 60E05 91G70 PDFBibTeX XMLCite \textit{S. Fuchs} and \textit{W. Trutschnig}, Depend. Model. 8, 396--416 (2020; Zbl 1460.62070) Full Text: DOI
Guzmics, Sándor; Pflug, Georg Ch. A new extreme value copula and new families of univariate distributions based on Freund’s exponential model. (English) Zbl 1466.62327 Depend. Model. 8, 330-360 (2020). MSC: 62H05 62H10 62E10 62G32 62N05 60E05 60F10 60G70 PDFBibTeX XMLCite \textit{S. Guzmics} and \textit{G. Ch. Pflug}, Depend. Model. 8, 330--360 (2020; Zbl 1466.62327) Full Text: DOI
Metzler, A. State dependent correlations in the Vasicek default model. (English) Zbl 1460.60013 Depend. Model. 8, 298-329 (2020). MSC: 60E99 62H05 91G40 PDFBibTeX XMLCite \textit{A. Metzler}, Depend. Model. 8, 298--329 (2020; Zbl 1460.60013) Full Text: DOI
Jeong, Himchan; Valdez, Emiliano A. Bayesian credibility premium with GB2 copulas. (English) Zbl 1457.62158 Depend. Model. 8, 157-171 (2020). MSC: 62H05 62E15 62F15 62P05 PDFBibTeX XMLCite \textit{H. Jeong} and \textit{E. A. Valdez}, Depend. Model. 8, 157--171 (2020; Zbl 1457.62158) Full Text: DOI
Navarro, Jorge Bivariate box plots based on quantile regression curves. (English) Zbl 1457.62117 Depend. Model. 8, 132-156 (2020). MSC: 62G08 62G15 62G07 62H05 PDFBibTeX XMLCite \textit{J. Navarro}, Depend. Model. 8, 132--156 (2020; Zbl 1457.62117) Full Text: DOI
Masuhr, Andreas; Trede, Mark Bayesian estimation of generalized partition of unity copulas. (English) Zbl 1457.62159 Depend. Model. 8, 119-131 (2020). MSC: 62H05 62H12 62G07 62P20 91B05 PDFBibTeX XMLCite \textit{A. Masuhr} and \textit{M. Trede}, Depend. Model. 8, 119--131 (2020; Zbl 1457.62159) Full Text: DOI
Sloot, Henrik The deFinetti representation of generalised Marshall-Olkin sequences. (English) Zbl 1455.60056 Depend. Model. 8, 107-118 (2020). MSC: 60G09 60G51 62H05 PDFBibTeX XMLCite \textit{H. Sloot}, Depend. Model. 8, 107--118 (2020; Zbl 1455.60056) Full Text: DOI
Benoumechiara, Nazih; Bousquet, Nicolas; Michel, Bertrand; Saint-Pierre, Philippe Detecting and modeling critical dependence structures between random inputs of computer models. (English) Zbl 1457.62098 Depend. Model. 8, 263-297 (2020). MSC: 62G07 62G08 62G32 62H20 62H05 62P30 PDFBibTeX XMLCite \textit{N. Benoumechiara} et al., Depend. Model. 8, 263--297 (2020; Zbl 1457.62098) Full Text: DOI arXiv
Steffen, Nico; Dickhaus, Thorsten Erratum to: “Optimizing effective numbers of tests by vine copula modeling”. (English) Zbl 1470.62117 Depend. Model. 8, 262 (2020). MSC: 62J15 62H20 62H05 62E17 PDFBibTeX XMLCite \textit{N. Steffen} and \textit{T. Dickhaus}, Depend. Model. 8, 262 (2020; Zbl 1470.62117) Full Text: DOI
Boonmee, Prakassawat; Tasena, Santi Quadratic transformation of multivariate aggregation functions. (English) Zbl 1457.62152 Depend. Model. 8, 254-261 (2020). MSC: 62H05 26E60 PDFBibTeX XMLCite \textit{P. Boonmee} and \textit{S. Tasena}, Depend. Model. 8, 254--261 (2020; Zbl 1457.62152) Full Text: DOI
Mai, Jan-Frederik The de Finetti structure behind some norm-symmetric multivariate densities with exponential decay. (English) Zbl 1457.62163 Depend. Model. 8, 210-220 (2020). MSC: 62H10 62H05 60E07 PDFBibTeX XMLCite \textit{J.-F. Mai}, Depend. Model. 8, 210--220 (2020; Zbl 1457.62163) Full Text: DOI
Fontanari, Andrea; Cirillo, Pasquale; Oosterlee, Cornelis W. Lorenz-generated bivariate Archimedean copulas. (English) Zbl 1457.62156 Depend. Model. 8, 186-209 (2020). MSC: 62H05 62H10 62G30 60E15 PDFBibTeX XMLCite \textit{A. Fontanari} et al., Depend. Model. 8, 186--209 (2020; Zbl 1457.62156) Full Text: DOI
Steffen, Nico; Dickhaus, Thorsten Optimizing effective numbers of tests by vine copula modeling. (English) Zbl 1457.62229 Depend. Model. 8, 172-185 (2020); erratum ibid. 8, 262 (2020). MSC: 62J15 62H20 62H05 62E17 PDFBibTeX XMLCite \textit{N. Steffen} and \textit{T. Dickhaus}, Depend. Model. 8, 172--185 (2020; Zbl 1457.62229) Full Text: DOI arXiv
Kuzmenko, Viktor; Salam, Romel; Uryasev, Stan Checkerboard copula defined by sums of random variables. (English) Zbl 1437.62181 Depend. Model. 8, 70-92 (2020). MSC: 62H05 62H12 90C25 91-10 62P20 PDFBibTeX XMLCite \textit{V. Kuzmenko} et al., Depend. Model. 8, 70--92 (2020; Zbl 1437.62181) Full Text: DOI
Nappo, Giovanna; Spizzichino, Fabio Relations between ageing and dependence for exchangeable lifetimes with an extension for the IFRA/DFRA property. (English) Zbl 1437.60059 Depend. Model. 8, 1-33 (2020). MSC: 60K10 60E15 62E10 62H05 60G09 PDFBibTeX XMLCite \textit{G. Nappo} and \textit{F. Spizzichino}, Depend. Model. 8, 1--33 (2020; Zbl 1437.60059) Full Text: DOI arXiv
Bentoumi, Rachid; Mesfioui, Mhamed; Alvo, Mayer Dependence measure for length-biased survival data using copulas. (English) Zbl 1439.62126 Depend. Model. 7, 348-364 (2019). MSC: 62H05 62N05 62F40 62F12 62H12 62H20 PDFBibTeX XMLCite \textit{R. Bentoumi} et al., Depend. Model. 7, 348--364 (2019; Zbl 1439.62126) Full Text: DOI
Jaworski, Piotr On Copula-Itô processes. (English) Zbl 1439.62132 Depend. Model. 7, 322-347 (2019). MSC: 62H05 60J60 60H15 46E35 47H20 58D07 PDFBibTeX XMLCite \textit{P. Jaworski}, Depend. Model. 7, 322--347 (2019; Zbl 1439.62132) Full Text: DOI
Genest, Christian; Mesfioui, Mhamed; Nešlehová, Johanna G. On the asymptotic covariance of the multivariate empirical copula process. (English) Zbl 1445.62103 Depend. Model. 7, 279-291 (2019). MSC: 62H05 62H20 62G05 62G20 60E15 PDFBibTeX XMLCite \textit{C. Genest} et al., Depend. Model. 7, 279--291 (2019; Zbl 1445.62103) Full Text: DOI
Falk, Michael; Stupfler, Gilles On a class of norms generated by nonnegative integrable distributions. (English) Zbl 1447.60046 Depend. Model. 7, 259-278 (2019). MSC: 60E10 62H05 62H12 PDFBibTeX XMLCite \textit{M. Falk} and \textit{G. Stupfler}, Depend. Model. 7, 259--278 (2019; Zbl 1447.60046) Full Text: DOI arXiv
Ressel, Paul Copulas, stable tail dependence functions, and multivariate monotonicity. (English) Zbl 1445.62107 Depend. Model. 7, 247-258 (2019). MSC: 62H05 62H10 60E05 26A48 PDFBibTeX XMLCite \textit{P. Ressel}, Depend. Model. 7, 247--258 (2019; Zbl 1445.62107) Full Text: DOI
Mai, Jan-Frederik Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case. (English) Zbl 1448.62065 Depend. Model. 7, 202-214 (2019). MSC: 62H05 62H10 60E05 26A48 PDFBibTeX XMLCite \textit{J.-F. Mai}, Depend. Model. 7, 202--214 (2019; Zbl 1448.62065) Full Text: DOI
Pfeifer, Dietmar; Mändle, Andreas; Ragulina, Olena; Girschig, Côme New copulas based on general partitions-of-unity. III: The continuous case. (English) Zbl 1439.62133 Depend. Model. 7, 181-201 (2019). MSC: 62H05 62H12 62H17 62H20 PDFBibTeX XMLCite \textit{D. Pfeifer} et al., Depend. Model. 7, 181--201 (2019; Zbl 1439.62133) Full Text: DOI arXiv
Burda, Martin; Bélisle, Louis Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo. (English) Zbl 1439.62127 Depend. Model. 7, 133-149 (2019). MSC: 62H05 62M10 62F15 65C05 91B84 62P05 62P20 62-08 PDFBibTeX XMLCite \textit{M. Burda} and \textit{L. Bélisle}, Depend. Model. 7, 133--149 (2019; Zbl 1439.62127) Full Text: DOI
Fuchs, Sebastian; Mccord, Yann On the lower bound of Spearman’s footrule. (English) Zbl 1439.62130 Depend. Model. 7, 126-132 (2019). MSC: 62H05 62H20 PDFBibTeX XMLCite \textit{S. Fuchs} and \textit{Y. Mccord}, Depend. Model. 7, 126--132 (2019; Zbl 1439.62130) Full Text: DOI
Ferreiro, Javier Ojea Structural change in the link between oil and the European stock market: implications for risk management. (English) Zbl 1437.91417 Depend. Model. 7, 53-125 (2019). MSC: 91G15 91G70 62P05 62H05 62M05 PDFBibTeX XMLCite \textit{J. O. Ferreiro}, Depend. Model. 7, 53--125 (2019; Zbl 1437.91417) Full Text: DOI
Guzmics, Sándor; Pflug, Georg Ch. Modelling cascading effects for systemic risk: properties of the Freund copula. (English) Zbl 1448.60033 Depend. Model. 7, 24-44 (2019). MSC: 60E05 62E10 62H05 PDFBibTeX XMLCite \textit{S. Guzmics} and \textit{G. Ch. Pflug}, Depend. Model. 7, 24--44 (2019; Zbl 1448.60033) Full Text: DOI
Trutschnig, Wolfgang; Mroz, Thomas A sharp inequality for Kendall’s \(\tau\) and Spearman’s \(\rho\) of extreme-value copulas. (English) Zbl 1434.62086 Depend. Model. 6, 369-376 (2018). MSC: 62H05 60E15 62G32 62E10 PDFBibTeX XMLCite \textit{W. Trutschnig} and \textit{T. Mroz}, Depend. Model. 6, 369--376 (2018; Zbl 1434.62086) Full Text: DOI arXiv
Ressel, Paul A multivariate version of Williamson’s theorem, \(\ell^1\)-symmetric survival functions, and generalized Archimedean copulas. (English) Zbl 1434.62085 Depend. Model. 6, 356-368 (2018). MSC: 62H05 26A48 26B40 62N05 60E05 PDFBibTeX XMLCite \textit{P. Ressel}, Depend. Model. 6, 356--368 (2018; Zbl 1434.62085) Full Text: DOI
Bahraoui, Tarik; Bouezmarni, Taoufik; Quessy, Jean-François Testing the symmetry of a dependence structure with a characteristic function. (English) Zbl 1434.62077 Depend. Model. 6, 331-355 (2018). MSC: 62H05 62G10 62G09 PDFBibTeX XMLCite \textit{T. Bahraoui} et al., Depend. Model. 6, 331--355 (2018; Zbl 1434.62077) Full Text: DOI
Girard, Stéphane Transformation of a copula using the associated co-copula. (English) Zbl 1434.62081 Depend. Model. 6, 298-308 (2018). MSC: 62H05 62E10 PDFBibTeX XMLCite \textit{S. Girard}, Depend. Model. 6, 298--308 (2018; Zbl 1434.62081) Full Text: DOI
Ansari, Jonathan; Rüschendorf, Ludger Ordering risk bounds in factor models. (English) Zbl 1434.62076 Depend. Model. 6, 259-287 (2018). MSC: 62H05 62P20 91G70 PDFBibTeX XMLCite \textit{J. Ansari} and \textit{L. Rüschendorf}, Depend. Model. 6, 259--287 (2018; Zbl 1434.62076) Full Text: DOI
Durante, Fabrizio; Sánchez, Juan Fernández; Sempi, Carlo A note on bivariate Archimax copulas. (English) Zbl 1434.62080 Depend. Model. 6, 178-182 (2018). MSC: 62H05 PDFBibTeX XMLCite \textit{F. Durante} et al., Depend. Model. 6, 178--182 (2018; Zbl 1434.62080) Full Text: DOI
Navarro, Jorge; Sordo, Miguel A. Stochastic comparisons and bounds for conditional distributions by using copula properties. (English) Zbl 1404.62057 Depend. Model. 6, 156-177 (2018). MSC: 62H05 60E15 PDFBibTeX XMLCite \textit{J. Navarro} and \textit{M. A. Sordo}, Depend. Model. 6, 156--177 (2018; Zbl 1404.62057) Full Text: DOI
Puccetti, Giovanni; Scherer, Matthias [Li, David X.] Copulas, credit portfolios, and the broken heart syndrome. An interview with David X. Li. (English) Zbl 1404.62114 Depend. Model. 6, 114-130 (2018). MSC: 62P05 62H05 PDFBibTeX XMLCite \textit{G. Puccetti} and \textit{M. Scherer}, Depend. Model. 6, 114--130 (2018; Zbl 1404.62114) Full Text: DOI
Kamnitui, Noppadon; Fernández-Sánchez, Juan; Trutschnig, Wolfgang Maximum asymmetry of copulas revisited. (English) Zbl 1390.60059 Depend. Model. 6, 47-62 (2018). MSC: 60E05 62E10 28A12 62H05 PDFBibTeX XMLCite \textit{N. Kamnitui} et al., Depend. Model. 6, 47--62 (2018; Zbl 1390.60059) Full Text: DOI
Cooray, Kahadawala Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family. (English) Zbl 1393.62025 Depend. Model. 6, 1-18 (2018). MSC: 62H05 PDFBibTeX XMLCite \textit{K. Cooray}, Depend. Model. 6, 1--18 (2018; Zbl 1393.62025) Full Text: DOI
Jaworski, Piotr On truncation invariant copulas and their estimation. (English) Zbl 1404.62056 Depend. Model. 5, 133-144 (2017). MSC: 62H05 62G07 PDFBibTeX XMLCite \textit{P. Jaworski}, Depend. Model. 5, 133--144 (2017; Zbl 1404.62056) Full Text: DOI
Faugeras, Olivier P. Inference for copula modeling of discrete data: a cautionary tale and some facts. (English) Zbl 1404.62063 Depend. Model. 5, 121-132 (2017). MSC: 62H20 62H05 PDFBibTeX XMLCite \textit{O. P. Faugeras}, Depend. Model. 5, 121--132 (2017; Zbl 1404.62063) Full Text: DOI
Nagler, Thomas; Schellhase, Christian; Czado, Claudia Nonparametric estimation of simplified vine copula models: comparison of methods. (English) Zbl 1404.62034 Depend. Model. 5, 99-120 (2017). MSC: 62G07 62H05 PDFBibTeX XMLCite \textit{T. Nagler} et al., Depend. Model. 5, 99--120 (2017; Zbl 1404.62034) Full Text: DOI arXiv
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven [Nelsen, Roger] My introduction to copulas. An interview with Roger Nelsen. (English) Zbl 1404.62052 Depend. Model. 5, 88-98 (2017). MSC: 62H05 PDFBibTeX XMLCite \textit{F. Durante} et al., Depend. Model. 5, 88--98 (2017; Zbl 1404.62052) Full Text: DOI
Górecki, J.; Hofert, M.; Holeňa, M. Kendall’s tau and agglomerative clustering for structure determination of hierarchical Archimedean copulas. (English) Zbl 1404.62054 Depend. Model. 5, 75-87 (2017). MSC: 62H05 62H30 PDFBibTeX XMLCite \textit{J. Górecki} et al., Depend. Model. 5, 75--87 (2017; Zbl 1404.62054) Full Text: DOI
Saminger-Platz, Susanne; De Jesús Arias-García, José; Mesiar, Radko; Klement, Erich Peter Characterizations of bivariate conic, extreme value, and Archimax copulas. (English) Zbl 1404.62058 Depend. Model. 5, 45-58 (2017). MSC: 62H05 60E05 PDFBibTeX XMLCite \textit{S. Saminger-Platz} et al., Depend. Model. 5, 45--58 (2017; Zbl 1404.62058) Full Text: DOI
Ackerer, Damien; Vatter, Thibault Dependent defaults and losses with factor copula models. (English) Zbl 1391.60027 Depend. Model. 5, 375-399 (2017). MSC: 60E05 60E10 62H05 62H20 65T50 91G20 91G40 91G60 PDFBibTeX XMLCite \textit{D. Ackerer} and \textit{T. Vatter}, Depend. Model. 5, 375--399 (2017; Zbl 1391.60027) Full Text: DOI arXiv
Jaser, Miriam; Haug, Stephan; Min, Aleksey A simple non-parametric goodness-of-fit test for elliptical copulas. (English) Zbl 1393.62026 Depend. Model. 5, 330-353 (2017). MSC: 62H05 62G10 PDFBibTeX XMLCite \textit{M. Jaser} et al., Depend. Model. 5, 330--353 (2017; Zbl 1393.62026) Full Text: DOI
Lee, Woojoo; Ahn, Jae Youn Measuring herd behavior: properties and pitfalls. (English) Zbl 1393.62045 Depend. Model. 5, 316-329 (2017). MSC: 62P05 62H05 91G70 PDFBibTeX XMLCite \textit{W. Lee} and \textit{J. Y. Ahn}, Depend. Model. 5, 316--329 (2017; Zbl 1393.62045) Full Text: DOI
Ren, Jiandong; Zitikis, Ričardas CMPH: a multivariate phase-type aggregate loss distribution. (English) Zbl 1393.91101 Depend. Model. 5, 304-315 (2017). MSC: 91B30 62H05 62P05 PDFBibTeX XMLCite \textit{J. Ren} and \textit{R. Zitikis}, Depend. Model. 5, 304--315 (2017; Zbl 1393.91101) Full Text: DOI
Ismail, S.; Yu, G.; Reinert, G.; Maynard, T. A two-component copula with links to insurance. (English) Zbl 06839235 Depend. Model. 5, 295-303 (2017). MSC: 62H05 62P05 PDFBibTeX XMLCite \textit{S. Ismail} et al., Depend. Model. 5, 295--303 (2017; Zbl 06839235) Full Text: DOI arXiv
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven [Cooke, Roger] The vine philosopher. (English) Zbl 1383.01009 Depend. Model. 5, 256-267 (2017). MSC: 01A70 62-03 62H05 62A01 PDFBibTeX XMLCite \textit{F. Durante} et al., Depend. Model. 5, 256--267 (2017; Zbl 1383.01009) Full Text: DOI
Pfeifer, Dietmar; Mändle, Andreas; Ragulina, Olena New copulas based on general partitions-of-unity and their applications to risk management. II. (English) Zbl 1381.62075 Depend. Model. 5, 246-255 (2017). MSC: 62H05 62H12 62H17 62H20 PDFBibTeX XMLCite \textit{D. Pfeifer} et al., Depend. Model. 5, 246--255 (2017; Zbl 1381.62075) Full Text: DOI arXiv
Derumigny, Alexis; Fermanian, Jean-David About tests of the “simplifying” assumption for conditional copulas. (English) Zbl 1383.62159 Depend. Model. 5, 154-197 (2017). MSC: 62H05 62G05 62G09 62G10 PDFBibTeX XMLCite \textit{A. Derumigny} and \textit{J.-D. Fermanian}, Depend. Model. 5, 154--197 (2017; Zbl 1383.62159) Full Text: DOI arXiv
Maume-Deschamps, Véronique; Rullière, Didier; Said, Khalil Multivariate extensions of expectiles risk measures. (English) Zbl 1358.91113 Depend. Model. 5, 20-44 (2017). MSC: 91G70 62P05 62H20 PDFBibTeX XMLCite \textit{V. Maume-Deschamps} et al., Depend. Model. 5, 20--44 (2017; Zbl 1358.91113) Full Text: DOI arXiv
Jaworski, Piotr On conditional value at risk (CoVaR) for tail-dependent copulas. (English) Zbl 1359.62166 Depend. Model. 5, 1-19 (2017). MSC: 62H05 60E05 91B30 91G40 62P05 PDFBibTeX XMLCite \textit{P. Jaworski}, Depend. Model. 5, 1--19 (2017; Zbl 1359.62166) Full Text: DOI
Pesenti, Silvana M.; Millossovich, Pietro; Tsanakas, Andreas Robustness regions for measures of risk aggregation. (English) Zbl 1356.91106 Depend. Model. 4, 348-367 (2016). MSC: 91G70 62G35 62P05 60F05 60E15 62H05 PDFBibTeX XMLCite \textit{S. M. Pesenti} et al., Depend. Model. 4, 348--367 (2016; Zbl 1356.91106) Full Text: DOI
Di Bernardino, Elena; Rullière, Didier On an asymmetric extension of multivariate Archimedean copulas based on quadratic form. (English) Zbl 1352.62091 Depend. Model. 4, 328-347 (2016). MSC: 62H20 PDFBibTeX XMLCite \textit{E. Di Bernardino} and \textit{D. Rullière}, Depend. Model. 4, 328--347 (2016; Zbl 1352.62091) Full Text: DOI
Preischl, Michael Bounds on integrals with respect to multivariate copulas. (English) Zbl 1414.91429 Depend. Model. 4, 277-287 (2016). MSC: 91G70 91G40 62H05 62P05 PDFBibTeX XMLCite \textit{M. Preischl}, Depend. Model. 4, 277--287 (2016; Zbl 1414.91429) Full Text: DOI arXiv
Fuchs, Sebastian A biconvex form for copulas. (English) Zbl 1349.62175 Depend. Model. 4, 63-75 (2016). MSC: 62H05 62H20 PDFBibTeX XMLCite \textit{S. Fuchs}, Depend. Model. 4, 63--75 (2016; Zbl 1349.62175) Full Text: DOI
Müller, K.; Richter, W.-D. Exact distributions of order statistics of dependent random variables from \(l_{n,p}\)-symmetric sample distributions, \(n\in\{3,4\}\). (English) Zbl 1388.62154 Depend. Model. 4, 1-29 (2016). MSC: 62H05 60E05 62G30 62G32 62P05 PDFBibTeX XMLCite \textit{K. Müller} and \textit{W. D. Richter}, Depend. Model. 4, 1--29 (2016; Zbl 1388.62154) Full Text: DOI
Durante, Fabrizio; Puccetti, Giovanni; Scherer, Matthias; Vanduffel, Steven [Genest, Christian] Stat trek. An interview with Christian Genest. (English) Zbl 1403.62003 Depend. Model. 4, 109-122 (2016). MSC: 62-03 62H05 01A70 PDFBibTeX XMLCite \textit{F. Durante} et al., Depend. Model. 4, 109--122 (2016; Zbl 1403.62003) Full Text: DOI
Taylor, M. D. Multivariate measures of concordance for copulas and their marginals. (English) Zbl 1349.62244 Depend. Model. 4, 224-236 (2016). MSC: 62H20 62H05 60E05 PDFBibTeX XMLCite \textit{M. D. Taylor}, Depend. Model. 4, 224--236 (2016; Zbl 1349.62244) Full Text: DOI arXiv
Durante, Fabrizio; Fernández-Sánchez, Juan; Trutschnig, Wolfgang Baire category results for quasi-copulas. (English) Zbl 1366.60040 Depend. Model. 4, 215-223 (2016). MSC: 60E05 26B35 28A10 54E52 PDFBibTeX XMLCite \textit{F. Durante} et al., Depend. Model. 4, 215--223 (2016; Zbl 1366.60040) Full Text: DOI
Fuchs, Sebastian Copula-induced measures of concordance. (English) Zbl 1349.62237 Depend. Model. 4, 205-214 (2016). MSC: 62H20 PDFBibTeX XMLCite \textit{S. Fuchs}, Depend. Model. 4, 205--214 (2016; Zbl 1349.62237) Full Text: DOI
Pellerey, Franco; Spizzichino, Fabio Joint weak hazard rate order under non-symmetric copulas. (English) Zbl 1375.60058 Depend. Model. 4, 190-204 (2016). MSC: 60E15 62H20 62N05 PDFBibTeX XMLCite \textit{F. Pellerey} and \textit{F. Spizzichino}, Depend. Model. 4, 190--204 (2016; Zbl 1375.60058) Full Text: DOI
Pfeifer, Dietmar; Tsatedem, Hervé Awoumlac; Mändle, Andreas; Girschig, Côme New copulas based on general partitions-of-unity and their applications to risk management. (English) Zbl 1349.62177 Depend. Model. 4, 123-140 (2016). MSC: 62H05 62H12 62H17 62H20 PDFBibTeX XMLCite \textit{D. Pfeifer} et al., Depend. Model. 4, 123--140 (2016; Zbl 1349.62177) Full Text: DOI arXiv
Papini, Pier Luigi Bivariate copulas, norms and non-exchangeability. (English) Zbl 1355.60021 Depend. Model. 3, 196-202 (2015). MSC: 60E05 60G09 62H20 PDFBibTeX XMLCite \textit{P. L. Papini}, Depend. Model. 3, 196--202 (2015; Zbl 1355.60021) Full Text: DOI
Overbeck, Ludger; Schmidt, Wolfgang M. Multivariate Markov families of copulas. (English) Zbl 1335.60134 Depend. Model. 3, 159-171 (2015). MSC: 60J05 60J25 60G07 PDFBibTeX XMLCite \textit{L. Overbeck} and \textit{W. M. Schmidt}, Depend. Model. 3, 159--171 (2015; Zbl 1335.60134) Full Text: DOI
Oertel, Frank An analysis of the Rüschendorf transform – with a view towards Sklar’s theorem. (English) Zbl 1406.60023 Depend. Model. 3, 113-125 (2015). MSC: 60E05 60A99 62H05 26A27 PDFBibTeX XMLCite \textit{F. Oertel}, Depend. Model. 3, 113--125 (2015; Zbl 1406.60023) Full Text: DOI arXiv
Kamnitui, Noppadon; Santiwipanont, Tippawan; Sumetkijakan, Songkiat Dependence measuring from conditional variances. (English) Zbl 1354.60007 Depend. Model. 3, 98-112 (2015). MSC: 60A10 62H20 PDFBibTeX XMLCite \textit{N. Kamnitui} et al., Depend. Model. 3, 98--112 (2015; Zbl 1354.60007) Full Text: DOI
Simard, Clarence; Rémillard, Bruno Forecasting time series with multivariate copulas. (English) Zbl 1328.62546 Depend. Model. 3, 59-82 (2015). MSC: 62M20 PDFBibTeX XMLCite \textit{C. Simard} and \textit{B. Rémillard}, Depend. Model. 3, 59--82 (2015; Zbl 1328.62546) Full Text: DOI
Bernhart, German; Mai, Jan-Frederik; Scherer, Matthias On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions. (English) Zbl 1323.60028 Depend. Model. 3, 29-46 (2015). Reviewer: Alessandro Selvitella (Hamilton) MSC: 60E05 62E15 62P20 91G10 PDFBibTeX XMLCite \textit{G. Bernhart} et al., Depend. Model. 3, 29--46 (2015; Zbl 1323.60028) Full Text: DOI