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Article: Matrix-tilted archimedean copulas

TitleMatrix-tilted archimedean copulas
Authors
Hofert, MariusZiegel, Johanna F.
KeywordsArchimedean copulas
Elliptical copulas
Generalization
Stochastic representation
Tilting
Issue Date2021
Citation
Risks, 2021, v. 9, n. 4, article no. 68 How to Cite?
DOI: http://dx.doi.org/10.3390/risks9040068
AbstractThe new class of matrix-tilted Archimedean copulas is introduced. It combines properties of Archimedean and elliptical copulas by introducing a tilting matrix in the stochastic representation of Archimedean copulas, similar to the Cholesky factor for elliptical copulas. Basic properties of this copula construction are discussed and a further extension outlined.
Persistent Identifierhttp://hdl.handle.net/10722/325522
ISI Accession Number ID
WOS:000643667200001

 

DC FieldValueLanguage
dc.contributor.authorHofert, Marius-
dc.contributor.authorZiegel, Johanna F.-
dc.date.accessioned2023-02-27T07:33:58Z-
dc.date.available2023-02-27T07:33:58Z-
dc.date.issued2021-
dc.identifier.citationRisks, 2021, v. 9, n. 4, article no. 68-
dc.identifier.urihttp://hdl.handle.net/10722/325522-
dc.description.abstractThe new class of matrix-tilted Archimedean copulas is introduced. It combines properties of Archimedean and elliptical copulas by introducing a tilting matrix in the stochastic representation of Archimedean copulas, similar to the Cholesky factor for elliptical copulas. Basic properties of this copula construction are discussed and a further extension outlined.-
dc.languageeng-
dc.relation.ispartofRisks-
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.subjectArchimedean copulas-
dc.subjectElliptical copulas-
dc.subjectGeneralization-
dc.subjectStochastic representation-
dc.subjectTilting-
dc.titleMatrix-tilted archimedean copulas-
dc.typeArticle-
dc.description.naturepublished_or_final_version-
dc.identifier.doi10.3390/risks9040068-
dc.identifier.scopuseid_2-s2.0-85104655624-
dc.identifier.volume9-
dc.identifier.issue4-
dc.identifier.spagearticle no. 68-
dc.identifier.epagearticle no. 68-
dc.identifier.eissn2227-9091-
dc.identifier.isiWOS:000643667200001-

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